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Business decision-making of power generators in competitive electricity market. [PDF]
HeliyonShao L +5 more
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Surf therapy for people with mental health disorders: a systematic review of randomized and non-randomized controlled trials. [PDF]
BMC Complement Med TherCarneiro L +5 more
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Guaranteed minimum withdrawal benefits with high-water mark fee structure. [PDF]
PLoS OneHan Y, Wu L, Li D, Han J.
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The Journal of Finance, 1985
ABSTRACTThis paper characterizes conditions under which asset returns and consumption are consistent with risk‐averse preferences. It is shown that risk aversion is equivalent to “zero arbitrage” on a transformation of the payoff space. The implicit state prices which are dual to this no‐arbitrage condition can be interpreted as prices of “pure ...
Green, Richard C, Srivastava, Sanjay
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ABSTRACTThis paper characterizes conditions under which asset returns and consumption are consistent with risk‐averse preferences. It is shown that risk aversion is equivalent to “zero arbitrage” on a transformation of the payoff space. The implicit state prices which are dual to this no‐arbitrage condition can be interpreted as prices of “pure ...
Green, Richard C, Srivastava, Sanjay
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Risk-Arbitrage Spreads and Performance of Risk Arbitrage
The Journal of Alternative Investments, 2008This article explores the cross sectional variation in risk arbitrage spreads. Factors that are relevant to the probability of deal success (i.e., target termination fees, target resistance, target price run-up, relative size of the target, and arbitrageurs9 activity), bid revision (i.e., target9s growth opportunity), potential loss when a deal fails ...
Ben S Branch, Jia Wang
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Execution Risk in High-Frequency Arbitrage
SSRN Electronic Journal, 2012In this paper, we investigate the role of execution risk in high-frequency trading through arbitrage strategies. We show that if rational agents face uncertainty about completing their arbitrage portfolios, then arbitrage is limited even in markets with perfect substitutes and convertibility.
Roman Kozhan, Wing Wah Tham
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Review of Financial Studies, 2002
This article studies the role of risk arbitrageurs in takeovers and the source of their advantage. We show how the presence of arbitrageurs affects the value of the target shares, since arbitrageurs are more likely to tender. Therefore an arbitrageur has the informational advantage of knowing he bought shares. In equilibrium, the number of arbitrageurs
Cornelli, F., Li, DD
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This article studies the role of risk arbitrageurs in takeovers and the source of their advantage. We show how the presence of arbitrageurs affects the value of the target shares, since arbitrageurs are more likely to tender. Therefore an arbitrageur has the informational advantage of knowing he bought shares. In equilibrium, the number of arbitrageurs
Cornelli, F., Li, DD
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Regulatory Arbitrage of Risk Measures
SSRN Electronic Journal, 2014In the past few decades, risk measures have been a prominent tool for risk management in both academic research and industrial practice.
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Statistical arbitrage and risk contagion
Journal of Economic Dynamics and Control, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xing Gao, Daniel Ladley
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