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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.
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