Hallam, Mark
Arvanitis, Stelios
stochastic dominance
spanning
linear programming
asset pricing
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| 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/ |