A new paper on recovering subjective physical and risk-neutral bivariate distributions from SP500 and VIX options; the only identifying assumption is the sentiment of an agent (the most probable, according to the agent, region of the future SP500 and VIX) + a good-deal bound restricting the likelihood swap risk-return trade-off. The projection of agent-specific likelihood ratio on the space of traded assets results in an optimal trading strategy for a given sentiment. Works pretty well last 13 years...without any optimization and backtesting...
Link to SSRN