Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for … two nested portfolio sets based on subsampling and Linear Programming. In an application, we use the prospect spanning …, many expand the opportunity set of the prospect type investors, thus have real economic value for them. In-sample and out …