We develop a novel recovery theorem based on no-arbitrage principles. To implement our Arbitrage-Based Recovery Theorem empirically, one needs to observe the Arrow–Debreu prices only for one single maturity. We perform several different density tests and mean prediction tests using more than 26 years of S&P 500 options data, and we find evidence that our method can correctly recover the probability distribution of the S&P 500 index return on a monthly horizon, despite the presence of a non-trivial permanent SDF component.

中文翻译：

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 基于套利的恢复


我们开发了一种基于无套利原则的新型恢复定理。为了实证地实施我们的基于套利的恢复定理，我们只需要观察一个单一期限的 Arrow-Debreu 价格。我们使用超过 26 年的标准普尔 500 指数期权数据进行了几种不同的密度测试和均值预测测试，我们发现有证据表明，尽管存在非平凡的永久 SDF 成分，但我们的方法可以正确恢复标准普尔 500 指数每月回报的概率分布。