Arbeitspapier
Stochastic spanning
This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for 'stochastic spanning' for two nested polyhedral portfolio sets based on subsampling and Linear Programming. The procedure is statistically consistent and asymptotically exact for a class of weakly dependent processes. Using the stochastic spanning tests, we accept market portfolio efficiency but reject two-fund separation in standard data sets of historical stock market returns. The divergence between the results of the two tests illustrates the role for higher-order moment risk in portfolio choice and challenges representative-investor models of capital market equilibrium.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 1505
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Criteria for Decision-Making under Risk and Uncertainty
Portfolio Choice; Investment Decisions
- Thema
-
Portfolio choice
Stochastic Dominance
Spanning
Subsampling
Linear Programming
Asset Pricing
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Arvanitis, Stelios
Hallam, Mark
Post, Thierry
- Ereignis
-
Veröffentlichung
- (wer)
-
Koç University-TÜSİAD Economic Research Forum (ERF)
- (wo)
-
Istanbul
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Arvanitis, Stelios
- Hallam, Mark
- Post, Thierry
- Koç University-TÜSİAD Economic Research Forum (ERF)
Entstanden
- 2015
Ähnliche Objekte (12)
Simulated annealing algorithm for the robust spanning tree problem
Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Defining Rules in Cost Spanning Tree Problems Through the Canonical Form
Zur Bedeutung von "boundary spanning units" für Organisationslernen in internationalen Organisationen
Functions of boundary spanning in context: A postcolonial, power-sensitive perspective
The topology of cross-border exposures: beyond the minimal spanning tree approach
Stochastic Complementarity
Stochastic volatility
Stochastic Dominance
Stochastic complementarity
On the Core of Cost-Revenue Games: Minimum Cost Spanning Tree Games with Revenues
Robust stochastic stability
Simulated annealing algorithm for the robust spanning tree problem
Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Defining Rules in Cost Spanning Tree Problems Through the Canonical Form
Zur Bedeutung von "boundary spanning units" für Organisationslernen in internationalen Organisationen
Functions of boundary spanning in context: A postcolonial, power-sensitive perspective
The topology of cross-border exposures: beyond the minimal spanning tree approach
Stochastic Complementarity
Stochastic volatility
Stochastic Dominance
Stochastic complementarity
On the Core of Cost-Revenue Games: Minimum Cost Spanning Tree Games with Revenues
Robust stochastic stability
Simulated annealing algorithm for the robust spanning tree problem
Resolving the Spanning Puzzle in Macro-Finance Term Structure Models
Defining Rules in Cost Spanning Tree Problems Through the Canonical Form
Zur Bedeutung von "boundary spanning units" für Organisationslernen in internationalen Organisationen
Functions of boundary spanning in context: A postcolonial, power-sensitive perspective
The topology of cross-border exposures: beyond the minimal spanning tree approach
Stochastic Complementarity
Stochastic volatility
Stochastic Dominance
Stochastic complementarity
On the Core of Cost-Revenue Games: Minimum Cost Spanning Tree Games with Revenues