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Sparse spanning portfolios and under-diversification with second-order stochastic dominance

Arvanitis, Stelios - 2025

We develop and implement methods for determining whether relaxing sparsity constraints on portfolios improves the investment opportunity set for risk-averse investors. We formulate a new estimation procedure for sparse second-order stochastic spanning based on a greedy algorithm and Linear...

Persistent link: https://www.econbiz.de/10015194210

Nonparametric tests of stochastic dominance in bivariate distributions, with an application to UK data

Crawford, Ian - 1999

This paper make straightforward extensions to Anderson's (1996) nonparametric statistical tests of stochastic dominance criteria to bivariate distributions. These test are applied to a time series of cross-section datasets on household level total expenditure and non labour market time in the UK.

Persistent link: https://www.econbiz.de/10011537671

Equilbrium Price Paths in Sequential Auctions with Stochastic Supply

Jeitschko, Thomas D. - 1999

In many sequential auctions the total number of units to be auctioned is not known at the outset of the auction …. However, information regarding the number of units may become available in the course of the auction. The paper examines how …

Persistent link: https://www.econbiz.de/10014197774

Equilbrium Price Paths in Sequential Auctions with Stochastic Supply

Jeitschko, Thomas D. - 1999

caused by uncertain supply. However, if in the course of the auction it becomes known that fewer than expected units will be …

Persistent link: https://www.econbiz.de/10014202379

Stochastic and Strategy-Proof Auctions for Statistical Inferences

Tomita, Yoji - 2020

We study a stochastic auction in a multi-items and unit-demand setting where bidders have one-dimensional type spaces …. In a usual Pareto-efficient auction such as the VCG auction, items are allocated deterministically to bidders depending … on their bids. However, even if an auctioneer implements a deterministic auction repeatedly, data that the auctioneer and …

Persistent link: https://www.econbiz.de/10014092334

Stochastic Synergies in Sequential Auctions

De Silva, Dakshina G.; Jeitschko, Thomas D.; … - 2004

We consider sequential construction contracts in which bidders may benefit from one auction to the next due to …

Persistent link: https://www.econbiz.de/10014068583

Nonparametric tests of stochastic dominance in bivariate distributions, with an application to UK data

Crawford, Ian - 1999

Persistent link: https://www.econbiz.de/10001432892

Identification and Estimation of Stochastic Bargaining Models, Fourth Version

Merlo, Antonio; Tang, Xun - 2011

Stochastic sequential bargaining models (Merlo and Wilson (1995, 1998) have found wide applications in different fields including political economy and macroeconomics due to their flexibility in explaining delays in reaching an agreement. This paper presents new results in nonparametric...

Persistent link: https://www.econbiz.de/10014176438

Identification and Estimation of Stochastic Bargaining Models, Third Version

Merlo, Antonio; Tang, Xun - 2011

Stochastic sequential bargaining models (Merlo and Wilson (1995, 1998)) have found wide applications in different fields including political economy and macroeconomics due to their flexibility in explaining delays in reaching an agreement. This paper presents new results in nonparametric...

Persistent link: https://www.econbiz.de/10014183988

Stochastic Nonparametric Envelopment of Data : Cross-Sectional Frontier Estimation Subject to Shape Constraints

Kuosmanen, Timo; Kortelainen, Mika - 2007

The field of production frontier estimation is divided between the parametric Stochastic Frontier Analysis (SFA) and the deterministic, nonparametric Data Envelopment Analysis (DEA). This paper explores an amalgam of DEA and SFA that melds a nonparametric frontier with a stochastic composite...

Persistent link: https://www.econbiz.de/10014050905