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Risk Arbitrage Opportunities for Stock Index Options
16 references·1 citing·48 second hop
Risk Arbitrage Opportunities for Stock Index Options (2020)Risk Arbitrage Opportunities for Stock In…A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)A Generalized Approach to Por…Consistent Testing for Stochastic Dominance under General Sampling Schemes (2005)Consistent Testing for Stocha…Efficient Diversification According to Stochastic Dominance Criteria (2004)Efficient Diversification Acc…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…Optimization with Stochastic Dominance Constraints (2003)Optimization with Stochastic …Empirical Tests for Stochastic Dominance Efficiency (2003)Empirical Tests for Stochasti…Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance (2002)Preferred by “All” and Prefer…Recovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Nonparametric risk management and implied risk aversion (2000)Nonparametric risk management…Implications of Security Market Data for Models of Dynamic Economies (1991)Implications of Security Mark…Distributional Analysis of Portfolio Choice (1988)Distributional Analysis of Po…Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach (1985)Upper and Lower Bounds of Put…Option pricing: A simplified approach (1979)Option pricing: A simplified …Optimal rules for ordering uncertain prospects (1975)Optimal rules for ordering un…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Stochastic Dominance and the Demand for Insurance (2024)Stochastic Dominance and the …The Utility Analysis of Choices Involving Risk (1948)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)Portfolio Selection: Efficient Diversification of Investments (1959)The effect of estimation risk on optimal portfolio choice (1976)Capital market equilibrium in a mean-lower partial moment framework (1977)Chapter 2 Measurement of inequality (2000)Theory of games and economic behavior (2019)The Cross-Section of Expected Stock Returns (1992)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Sparse and stable Markowitz portfolios (2009)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Shrinking the cross-section (2019)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Forecasting economic and financial time-series with non-linear models (2004)Do Islamic stock indexes outperform conventional stock indexes? A stochastic dominance approach (2013)R&D and Productivity: Estimating Endogenous Productivity (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Theory of rational option pricing (2005)PORTFOLIO SELECTION* (1952)A Simplified Model for Portfolio Analysis (1963)Common risk factors in the returns on stocks and bonds (1993)Honey, I Shrunk the Sample Covariance Matrix (2004)Chapter 4 Forecast Combinations (2006)Prices of State-Contingent Claims Implicit in Option Prices (1978)On estimating the expected return on the market (1980)Implied Binomial Trees (1994)Characteristics of Risk and Return in Risk Arbitrage (2001)Expected Option Returns (2001)Demand-Based Option Pricing (2005)Empirical pricing kernels (2002)Option‐Implied Risk Aversion Estimates (2004)Information demand and stock market volatility (2012)The Econometrics of Financial Markets (2012)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
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References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1991Implications of Security Market Data for Models of Dynamic Economies1,182 cited
  • 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms1,040 cited
  • 1975Optimal rules for ordering uncertain prospects860 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 2000Nonparametric risk management and implied risk aversion740 cited
  • 2005Consistent Testing for Stochastic Dominance under General Sampling Schemes512 cited
  • 2003Optimization with Stochastic Dominance Constraints369 cited
  • 2002Preferred by “All” and Preferred by “Most” Decision Makers: Almost Stochastic Dominance348 cited
  • 2003Empirical Tests for Stochastic Dominance Efficiency287 cited
  • 2004Efficient Diversification According to Stochastic Dominance Criteria229 cited
  • 1988Distributional Analysis of Portfolio Choice221 cited

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  • 1985Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach172 cited
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    • 2024Stochastic Dominance and the Demand for Insurance0 cited