CMStatistics 2018: Start Registration
View Submission - CFE
A0636
Title: Stochastic bounds for portfolio analysis Authors:  Sofia Anyfantaki - Athens University of Economics and Business and Bank of Greece (Greece) [presenting]
Stelios Arvanitis - RC-AUEB (Greece)
Nikolas Topaloglou - Athens University of Economics and Business Research Center (Greece)
Thierry Post - Koc University (Turkey)
Abstract: Concepts and methods are introduced for analyzing whether a given portfolio possibility set contains some element which dominates all portfolios in another possibility set for all risk-averse investors. A general hypothesis structure and assumption framework are employed and feasible approaches to statistical inference and numerical optimization are developed. Various applications are explored in asset pricing and portfolio analysis: (1) testing the efficiency of a latent market portfolio; (2) analyzing investment returns which are hedged for systematic risk; (3) engineering an active enhanced indexing portfolio in the face of sampling error.