Results 301 to 310 of about 7,235,439 (370)

ρ-Arbitrage and ρ-Consistent Pricing for Star-Shaped Risk Measures

Mathematics of Operations Research, 2022
This paper revisits mean-risk portfolio selection in a one-period financial market, where risk is quantified by a star-shaped risk measure ρ. We make three contributions.
Martin Herdegen, Nazem Khan
semanticscholar   +1 more source

Risk Arbitrage Opportunities for Stock Index Options

Operational Research, 2018
Research about equity index options has shown that option prices systematically violate rational pricing bounds for the risk-averse representative investor. These results raise the question of whether profitable trading possibilities exist in this market.
T. Post, I. R. Longarela
semanticscholar   +1 more source

Influencing Control: Jawboning in Risk Arbitrage

Journal of Finance, 2016
In an "activist risk arbitrage," a shareholder attempts to change the course of an announced M&A deal through public campaigns, and profits from improved terms.
Wei Jiang, Tao Li, Danqing Mei
semanticscholar   +1 more source

Risk Aversion and Arbitrage

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
openaire   +1 more source

The Behavior of an Institutional Investor with Arbitrage Opportunities and Liquidity Risk

Emerging markets finance & trade, 2018
This study analyzes the efficiency of liquidity flows in stabilizing distressed markets from a theoretical perspective. We show that even in the event of a major negative market shock, a financial institution can increase its investment in the market ...
Sangwook Sung, Hoon Cho, Doojin Ryu
semanticscholar   +1 more source

Arbitrage Risk and Stock Mispricing

SSRN Electronic Journal, 2008
AbstractIn this paper we examine the relation between equity mispricing and arbitrage risk and find that stocks with high arbitrage risk have higher estimated mispricing than stocks with low arbitrage risk. These results are not limited to high book-to-market or small capitalization stocks, and they are not sensitive to transaction and short-selling ...
John A. Doukas, Chansog (Francis) Kim, Christos Pantzalis   +2 more
openaire   +1 more source

Statistical arbitrage and risk contagion

Journal of Economic Dynamics and Control, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xing Gao, Daniel Ladley
openaire   +2 more sources

Risk Arbitrage Opportunities for Stock Index Options

Operations Research, 2021
Research about equity index options has shown that option prices systematically violate rational pricing bounds for the risk-averse representative investor. These results raise the question of whether profitable trading possibilities exist in this market. Standard portfolio optimization does not apply because of the large bid-ask spreads and low quote
Thierry Post, Iňaki Rodríguez Longarela   +1 more
openaire   +1 more source

Stablecoin Runs and the Centralization of Arbitrage

Social Science Research Network
We analyze the run risk of USD-backed stablecoins and uncover a dilemma between stablecoins’ price stability and financial stability. Stablecoin runs bear important financial stability implications through the fire sale of US dollar assets like bank ...
Yiming Ma, Yao Zeng, Anthony Lee Zhang
semanticscholar   +1 more source

Takeovers, Freezeouts, and Risk Arbitrage

Games, 2001
This paper develops a dynamic model of tender offers in which there is trading on the target’s shares during the takeover, and bidders can freeze out target shareholders (compulsorily acquire remaining shares not tendered at the bid price), features that
Armando Gomes
semanticscholar   +1 more source