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Stochastic spanning

dc.contributor.issuingbodyAthens University of Economics and Business, Department of Economicsen
dc.creatorArvanitis, Steliosen
dc.creatorHallam, Marken
dc.creatorPost, Thierryen
dc.creatorTopaloglou, Nikolasen
dc.date.accessioned2025-03-26T19:39:30Z
dc.date.available2025-03-26T19:39:30Z
dc.date.issued2015
dc.date.submitted2017-03-15 11:39:05
dc.description.abstractThis 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.expire2017-03-15 11:39:05
dc.embargo.ruleOpen access
dc.format.extent30 pages
dc.identifierhttp://www.pyxida.aueb.gr/index.php?op=view_object&object_id=5308
dc.identifier.urihttps://pyxida.aueb.gr/handle/123456789/6528
dc.languageen
dc.rightsCC BY: Attribution alone 4.0
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectportfolio choiceel
dc.subjectstochastic dominanceel
dc.subjectspanningel
dc.subjectlinear programmingel
dc.subjectasset pricingel
dc.titleStochastic spanningel
dc.typeText
dc.typeNonPeerReviewed

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