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.
- Language
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Englisch
- Bibliographic citation
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Series: cemmap working paper ; No. CWP04/12
- Classification
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Wirtschaft
Econometric and Statistical Methods and Methodology: General
Econometric Modeling: General
- Subject
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Hansen-Jagannathan set
Marokowitz set
Inference
- Event
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Geistige Schöpfung
- (who)
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Chernozhukov, Victor
Kocatulum, Emre
Menzel, Konrad
- Event
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Veröffentlichung
- (who)
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Centre for Microdata Methods and Practice (cemmap)
- (where)
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London
- (when)
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2012
- DOI
-
doi:10.1920/wp.cem.2012.0412
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Chernozhukov, Victor
- Kocatulum, Emre
- Menzel, Konrad
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2012
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Inference for extremal conditional quantile models, with an application to market and birthweight risks
Inference for best linear approximations to set identified functions
Simultaneous inference for best linear predictor of the conditional average treatment effect and other structural functions
Inference on counterfactual distributions
Inference on counterfactual distributions
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Intersection bounds: Estimation and inference
Intersection bounds: Estimation and inference
Inference on sets in finance
Inference on sets in finance
Posterior inference in curved exponential families under increasing dimensions
Posterior inference in curved exponential families under increasing dimensions
Inference for extremal conditional quantile models, with an application to market and birthweight risks
Inference for best linear approximations to set identified functions
Simultaneous inference for best linear predictor of the conditional average treatment effect and other structural functions
Inference on counterfactual distributions
Inference on counterfactual distributions
Inference on counterfactual distributions
Intersection bounds: Estimation and inference