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.
Year of publication: |
2012
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Authors: | Chernozhukov, Victor ; Kocatulum, Emre ; Menzel, Konrad |
Publisher: |
London : Centre for Microdata Methods and Practice (cemmap) |
Subject: | Hansen-Jagannathan set | Marokowitz set | Inference |
Saved in:
freely available
Series: | cemmap working paper ; CWP04/12 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.1920/wp.cem.2012.0412 [DOI] 686684524 [GVK] hdl:10419/64645 [Handle] RePEc:ifs:cemmap:04/12 [RePEc] |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C50 - Econometric Modeling. General |
Source: |
Persistent link: https://www.econbiz.de/10010288322