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Stochastic spanning

Φόρτωση...
Μικρογραφία εικόνας

Ημερομηνία

2015

Συγγραφείς

Arvanitis, Stelios
Hallam, Mark
Post, Thierry
Topaloglou, Nikolas

Τίτλος Εφημερίδας

Περιοδικό ISSN

Τίτλος τόμου

Εκδότης

Επιβλέπων

Διαθέσιμο από

2017-03-15 11:39:05

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.

Περιγραφή

Λέξεις-κλειδιά

portfolio choice, stochastic dominance, spanning, linear programming, asset pricing

Παραπομπή

Άδεια Creative Commons