This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for ‘stochastic spanning’ for two nested polyhedral...

This study develops a portfolio optimization method based on the Stochastic Dominance (SD) decision criterion and the Empirical Likelihood (EL) estimation method. SD and EL share a distribution-free assumption framework which allows for dynamic and non-Gaussian multivariate return distributions....

We derive the limit theory of the Gaussian QMLE in a non-stationary Asymmetric GARCH(1,1) model when the squared innovation process lies in the domain of attraction of a stable law. When the stability parameter lies in (1,2], we find regularly varying rates and stable limits for the QMLE of the...

We derive sufficient conditions for non-emptyness of the efficient set for Stochastic Dominance Relations, commonly applied in Economics and Finance, over sets of distributions on the real line. We do so via the use of the concept of stochastic spanning and its characterization via a saddle type...

This 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...

We derive the continuity properties of the CDF of a random variable defined as a saddle-type point of a real valued continuous stochastic process on a compact metric space. This result facilitates the derivation of first order asymptotic properties of tests for stochastic spanning w.r.t. some...

A stochastic bound is a portfolio which stochastically dominates all alternatives in a reference portfolio set instead of a single alternative portfolio. An approximate bound is a portfolio which comes as close as possible to this ideal. To identify and analyze exact or approximate bounds,...