Stochastic Spanning

DOI10.1080/07350015.2017.1391099MaRDI QIDQ6634889zbMATH OpenFDO

Authors Stelios Arvanitis, Mark Hallam, Thierry Post, Nikolas Topaloglou

Publication date 8 November 2024

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2017.1391099

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites work

• A characterization of the distributions that imply mean-variance utility functions
• A Test of the Efficiency of a Given Portfolio
• An Introduction to Functional Central Limit Theorems for Dependent Stochastic Processes
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Consistent Tests for Stochastic Dominance
• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• Marginal Conditional Stochastic Dominance
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• Mutual fund separation in financial theory - the separating distributions
• Necessary conditions for the CAPM
• On general minimax theorems
• Portfolio construction based on stochastic dominance and target return distributions
• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Subsampling
• Testing for stochastic dominance efficiency
• Testing for the stochastic dominance efficiency of a given portfolio
• The Dual Theory of Choice under Risk
• The Efficiency Analysis of Choices Involving Risk
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

Cited in

(2)

• Somewhere Between Utopia and Dystopia: Choosing From Multiple Incomparable Prospects
• GDP-linked bonds as a new asset class

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