Εντοπίστηκε ένα σφάλμα στη λειτουργία της ΠΥΞΙΔΑΣ όταν χρησιμοποιείται μέσω του προγράμματος περιήγησης Safari. Μέχρι να αποκατασταθεί το πρόβλημα, προτείνουμε τη χρήση εναλλακτικού browser όπως ο Chrome ή ο Firefox. A bug has been identified in the operation of the PYXIDA platform when accessed via the Safari browser. Until the problem is resolved, we recommend using an alternative browser such as Chrome or Firefox.
Λογότυπο αποθετηρίου

Ερευνητικά δοκίμια

Μόνιμο URI για αυτήν τη συλλογήhttps://pyxida.aueb.gr/handle/123456789/64

Περιήγηση

Πλοήγηση Ερευνητικά δοκίμια ανά Συγγραφέα "Arvanitis, Stelios"

A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
Α Β Γ Δ Ε Ζ Η Θ Ι Κ Λ Μ Ν Ξ Ο Π Ρ Σ Τ Υ Φ Χ Ψ Ω
Φιλτράρετε τα αποτελέσματα πληκτρολογώντας τα πρώτα γράμματα
Τώρα δείχνει 1 - 3 από 3
  • Μικρογραφία εικόνας
    Τεκμήριο
    Existence and uniqueness of a stationary and ergodic solution to stochastic recurrence equations via Matkowski’s FPT
    (03/13/2017) Arvanitis, Stelios
    We establish the existence of a unique stationary and ergodic solution for systems of stochastic recurrence equations defined by stochastic self-maps on Polish metric spaces based on the fixedpoint theorem of Matkowski. The results can be useful in cases where the stochastic Lipschitz co-efficients implied by the currently used method either do not exist, or lead to the imposition ofunecessarily strong conditions for the derivation of the solution.
  • Μικρογραφία εικόνας
    Τεκμήριο
    Stochastic spanning
    (2015) Arvanitis, Stelios; Hallam, Mark; Post, Thierry; Topaloglou, Nikolas; Athens University of Economics and Business, Department of Economics
    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.
  • Μικρογραφία εικόνας
    Τεκμήριο
    Testing for prospect and Markowitz stochastic dominance efficiency
    (03/13/2017) Arvanitis, Stelios; Topaloglou, Nikolas; Athens University of Economics and Business, Department of Economics
    We develop non-parametric tests for prospect stochastic dominance Efficiency (PSDE) and Markowitz stochastic dominance efficiency (MSDE) using block bootstrap resampling. Under the appropriate conditions we show that they are asymptotically conservative and consistent. We employ Monte Carlo experiments to assess the finite sample size and power of the tests. We use the tests to empirically establish whether the value-weighted market portfolio is the best choice of every individual with preferences exhibiting certain patterns of local attitudes towards risk. Our results indicate that we cannot reject the hypothesis of prospect stochastic dominance efficiency for the market portfolio. This is supportive of the claim that the particular portfolio can be rationalized as the optimal choice for any S-shaped utility function. Instead,we reject the hypothesis for Markowitz stochastic dominance, which could imply that there exist reverse S-shaped utility functions that do not rationalize the market portfolio.