The second order asymptotic expansions, of the Edgeworth type, of an MM-type and the QML estimators for the MA(1) with mean model are given. We also derive the second order expansions of the sample autocorrelation and the autocorrelation based on the QML estimator of the MA parameter. By...

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 portfolio...

type="main" xml:id="jtsa12080-abs-0001" <title type="main">SUMMARY</title>Indirect estimators usually emerge from two-step optimization procedures. Each step in such a procedure may induce complexities in the asymptotic theory of the estimator. In this note, we are occupied with a simple example in which the estimator...

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...