5 papers
Sparse spanning portfolios and under-diversification with second-order stochastic dominance
Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou
We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors. We formulate…
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance
Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investor…
Saddlepoint approximations for spatial panel data models
Chaonan Jiang, Davide La Vecchia, Elvezio Ronchetti +1
We develop new higher-order asymptotic techniques for the Gaussian maximum likelihood estimator in a spatial panel data model, with fixed effects, time-varying covariates, and spat…
Spanning Tests for Markowitz Stochastic Dominance
Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou
We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order…
Early exercise decision in American options with dividends, stochastic volatility and jumps
Antonio Cosma, Stefano Galluccio, Paola Pederzoli +1
Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on th…