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Συλλογές :	Ιδρυματικό Αποθετήριο ΟΠΑ / AUEB Institutional Repository Σχολή Οικονομικών Επιστημών / School of Economics Τμήμα Οικονομικής Επιστήμης / Department of Economics Ερευνητικά δοκίμια / Working papers

Τίτλος :	Stochastic spanning

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

Συντελεστής :	Athens University of Economics and Business, Department of Economics (Issuing body)

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.

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 :

Αρχείο: Arvanitis_Hallam_Post_Topaloglou_2015.pdf

Τύπος: application/pdf

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