Συλλογές
Τίτλος Stochastic spanning
Δημιουργός Post, Thierry, Topaloglou, Nikolas
Hallam, Mark
Arvanitis, Stelios
Συντελεστής Athens University of Economics and Business, Department of Economics
Τύπος Text
Φυσική περιγραφή 30 pages
Γλώσσα en
Αναγνωριστικό http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=5308
Περίληψη This study develops and implements methods for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a statistical test procedure for ‘stochastic spanning’ for two nested polyhedral portfolio sets based on subsampling and Linear Programming. The test is statistically consistent and asymptotically exact for a class of weakly dependent processes. Using this test, we accept market portfolio efficiency but reject two-fund separation in standard data sets of historical stock market returns. The divergence between the test results for the two hypotheses illustrates the role for higher-order moment risk in portfolio choice and challenges representative-investor models of capital market equilibrium.
Λέξη κλειδί portfolio choice
stochastic dominance
spanning
linear programming
asset pricing
Διαθέσιμο από 2017-03-15 11:39:05
Ημερομηνία έκδοσης 2015
Ημερομηνία κατάθεσης 2017-03-15 11:39:05
Δικαιώματα χρήσης Free access
Άδεια χρήσης https://creativecommons.org/licenses/by/4.0/