Arbeitspapier
Inference on sets in finance
In this paper we introduce various set inference problems as they appear in finance and propose practical and powerful inferential tools. Our tools will be applicable to any problem where the set of interest solves a system of smooth estimable inequalities, though we will particularly focus on the following two problems: the admissible meanvariance sets of stochastic discount factors and the admissible mean-variance sets of asset portfolios. We propose to make inference on such sets using weighted likelihoodratio and Wald type statistics, building upon and substantially enriching the available methods for inference on sets.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP04/12
- Klassifikation
-
Wirtschaft
Econometric and Statistical Methods and Methodology: General
Econometric Modeling: General
- Thema
-
Hansen-Jagannathan set
Marokowitz set
Inference
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chernozhukov, Victor
Kocatulum, Emre
Menzel, Konrad
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2012
- DOI
-
doi:10.1920/wp.cem.2012.0412
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chernozhukov, Victor
- Kocatulum, Emre
- Menzel, Konrad
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2012
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