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Πλοήγηση Ερευνητικά δοκίμια ανά Θέμα "linear programming"
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Τεκμήριο Stochastic spanning(2015) Arvanitis, Stelios; Hallam, Mark; Post, Thierry; Topaloglou, NikolasThis 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.