We analyze the joint cross-section of monthly S&P500 stock index options and monthly CBOE Volatility Index options by constructing and evaluating option combinations that appear undervalued for all permissible values of the latent parameters of the unifying option pricing model and the joint...

We develop and implement a portfolio optimization method for building investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semi-variance function, a refinement of an existing 'super-convex'...

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for ‘stochastic spanning’ for two nested polyhedral...