In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include, among others, the Hansen-Jagannathan (HJ) sets of admissible stochastic discount factors,...

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We develop a general framework for portfolio sorting by casting...

Treating the premium of stocks over bills as a statistical phenomenon, and based on almost a century of historical data, I estimate asset allocation confidence intervals for the optimal retirement investment problem in the presence of guaranteed income. The confidence intervals arise as a result...