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Sökning: WFRF:(Longarela Inaki Rodriguez)

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1.
  • Longarela, Iñaki Rodríguez (författare)
  • A Simple Linear Programming Approach to Gain, Loss and Aset Pricing
  • 2003
  • Ingår i: Topics in Theoretical Economics. - 1534-598X. ; 2:1
  • Tidskriftsartikel (refereegranskat)abstract
    • Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on what they call gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds. In this note we provide a simple procedure for their computation which only entails solving a linear optimization program.
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2.
  • Menkveld, Albert J., et al. (författare)
  • Nonstandard Errors
  • 2024
  • Ingår i: JOURNAL OF FINANCE. - : Wiley-Blackwell. - 0022-1082 .- 1540-6261. ; 79:3, s. 2339-2390
  • Tidskriftsartikel (refereegranskat)abstract
    • In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty-nonstandard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for more reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants.
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3.
  • Post, Thierry, et al. (författare)
  • Risk Arbitrage Opportunities for Stock Index Options
  • 2021
  • Ingår i: Operations Research. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0030-364X .- 1526-5463. ; 69:1, s. 100-113
  • Tidskriftsartikel (refereegranskat)abstract
    • To analyze the economic signicance of pricing errors of stock index options, a system of linear inequalities is developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index options yields signicant abnormal returns out of sample, for small-scale portfolios. However, outperformance seems elusive if the strategy is scaled up and market depth is taken into account.
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  • Resultat 1-3 av 3

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