I urval från Stockholms universitets publikationsdatabas

• Risk Arbitrage Opportunities for Stock Index Options

  2020. Thierry Post, Iñaki Rodriguez Longarela. Operations Research

  Artikel

  To analyze the economic signicance of pricing errors of stock index options, a system of linear inequalities is developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index options yields signicant abnormal returns out of sample, for small-scale portfolios. However, outperformance seems elusive if the strategy is scaled up and market depth is taken into account.

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• Explaining vertical gender segregation

  2017. Iñaki R. Longarela. Work, Employment and Society

  Artikel

  This research agenda outlines possible routes to pursue an explanation of vertical gender segregation. The analysis emphasizes the expanding opportunities brought about by a combination of Big Data and public policies, like gender quotas, and uncovers important challenges for which possible solutions are offered. Experimental work is likely to remain very useful in the pursuit of answers to this asymmetric gender presence.

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• A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints

  2016. Inaki R. Longarela. Management science 62 (12), 3549-3554

  Artikel

  In this paper, the set of all second-order stochastic dominance (SSD)-efficient portfolios is characterized by using a series of mixed-integer linear constraints. Our derivation employs a combination of the first-order conditions of the utility maximization problem together with a judicious use of binary variables. This result opens the door to the formulation of optimizations whose objective function is free to select a particular portfolio out of the entire SSD-efficient set.

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• Quote inefficiency in options markets

  2015. Inaki R. Longarela, Silvia Mayoral. Journal of Banking & Finance 55, 23-36

  Artikel

  In an arbitrage-free economy with non-zero bid-ask spreads the existence of payoffs whose price is lower than the price of a dominated payoff cannot be discarded in general. However, when the former price corresponds to trivial portfolios which involve buying or selling one unit of the basis assets, its presence, although not an arbitrage, is a severe market anomaly which we refer to as an inefficient quote. In an empirical study, we report evidence that indicates that in options markets both the frequency and the magnitude of these anomalies are substantial and we document puzzling patterns in their behavior.

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