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Saddle-Type Functionals for Continuous Processes with Applications to Tests for Stochastic Spanning
Arvanitis, Stelios - 2015
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...
Persistent link: https://www.econbiz.de/10013011563
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Consistent Tests for Almost Stochastic Dominance
Guo, Xu - 2015
Leshno and Levy (2002) introduce the concept of the first and second order of almost stochastic dominance (ASD) for most decision makers. There are many studies investigating the properties of this concept. Many empirical applications are also conducted based on it. However, there is no formal...
Persistent link: https://www.econbiz.de/10013024708
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Spanning tests for Markowitz stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2018 - Current draft: January 2018
Using properties of the cdf of a random variable defined as a saddle-type point of a real valued continuous stochastic process, we derive first-order asymptotic properties of tests for stochastic spanning w.r.t. a stochastic dominance relation. First, we define the concept of Markowitz...
Persistent link: https://www.econbiz.de/10011877232
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011
for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. …
Persistent link: https://www.econbiz.de/10010330249
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10003936616
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Framstad, Nils Chr. - 2011 - Publisert 28. jun. 2011 09:08
for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … the discretisation chosen. Arbitrage examples are established where the continuous analogue is arbitrage-free under small … (1997) article proving arbitrage in fBm models. -- Stock price model ; random walk ; Gaussian processes ; weak convergence …
Persistent link: https://www.econbiz.de/10009155859
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Stochastic spanning
Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015
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...
Persistent link: https://www.econbiz.de/10010512497
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Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus
Framstad, Nils Chr. - 2013 - This version August 16, 2013
While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...
Persistent link: https://www.econbiz.de/10009787073
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Portfolio choice based on third-degree stochastic dominance, with an application to industry momentum
Post, Thierry; Kopa, Miloš - 2015
We develop and implement a portfolio optimization method for building investment portfolios that dominate a given benchmark index in terms of third-degree stochastic dominance. Our approach relies on the properties of the semi-variance function, a refinement of an existing 'super-convex'...
Persistent link: https://www.econbiz.de/10011439453
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Linear Algorithm for Portfolio Optimization with Third-Order Stochastic Dominance
Fang, Yi - 2018
We propose a novel linear approximation of expected utility. The approximation guides us as we transfer the traditional quadratic dependence of third-order stochastic dominance (TSD) into an equivalent linear system. The finding also shows a dual relationship between traditional low partial...
Persistent link: https://www.econbiz.de/10012911538