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Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Arbitrage bounds for prices of weighted variance swaps

Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854

Persistent link: https://www.econbiz.de/10011308161

Arbitrage and nonlinear tax scales

Becker, Marcus; Löffler, Andreas - 2016 - 12. April 2016 (first draft)

We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the … premise that tax scale is convex, we analyze prices that do not exhibit arbitrage opportunities. It turns out that there are … two kinds of arbitrage: unbounded as well as bounded arbitrage. With bounded arbitrage, the gain from forming an arbitrage …

Persistent link: https://www.econbiz.de/10011450302