Stochastic spanning
dc.contributor.issuingbody | Athens University of Economics and Business, Department of Economics | en |
dc.creator | Arvanitis, Stelios | en |
dc.creator | Hallam, Mark | en |
dc.creator | Post, Thierry | en |
dc.creator | Topaloglou, Nikolas | en |
dc.date.accessioned | 2025-03-26T19:39:30Z | |
dc.date.available | 2025-03-26T19:39:30Z | |
dc.date.issued | 2015 | |
dc.date.submitted | 2017-03-15 11:39:05 | |
dc.description.abstract | 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. | en |
dc.embargo.expire | 2017-03-15 11:39:05 | |
dc.embargo.rule | Open access | |
dc.format.extent | 30 pages | |
dc.identifier | http://www.pyxida.aueb.gr/index.php?op=view_object&object_id=5308 | |
dc.identifier.uri | https://pyxida.aueb.gr/handle/123456789/6528 | |
dc.language | en | |
dc.rights | CC BY: Attribution alone 4.0 | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.subject | portfolio choice | el |
dc.subject | stochastic dominance | el |
dc.subject | spanning | el |
dc.subject | linear programming | el |
dc.subject | asset pricing | el |
dc.title | Stochastic spanning | el |
dc.type | Text | |
dc.type | NonPeerReviewed |
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