Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64645
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dc.contributor.authorChernozhukov, Victoren_US
dc.contributor.authorKocatulum, Emreen_US
dc.contributor.authorMenzel, Konraden_US
dc.date.accessioned2012-02-22en_US
dc.date.accessioned2012-10-16T13:09:06Z-
dc.date.available2012-10-16T13:09:06Z-
dc.date.issued2012en_US
dc.identifier.pidoi:10.1920/wp.cem.2012.0412en_US
dc.identifier.urihttp://hdl.handle.net/10419/64645-
dc.description.abstractIn this paper we introduce various set inference problems as they appear in finance and propose practical and powerful inferential tools. Our tools will be applicable to any problem where the set of interest solves a system of smooth estimable inequalities, though we will particularly focus on the following two problems: the admissible meanvariance sets of stochastic discount factors and the admissible mean-variance sets of asset portfolios. We propose to make inference on such sets using weighted likelihoodratio and Wald type statistics, building upon and substantially enriching the available methods for inference on sets.en_US
dc.language.isoengen_US
dc.publisher|aCentre for Microdata Methods and Practice (cemmap) |cLondonen_US
dc.relation.ispartofseries|acemmap working paper |xCWP04/12en_US
dc.subject.jelC10en_US
dc.subject.jelC50en_US
dc.subject.ddc330en_US
dc.subject.keywordHansen-Jagannathan seten_US
dc.subject.keywordMarokowitz seten_US
dc.subject.keywordInferenceen_US
dc.titleInference on sets in financeen_US
dc.typeWorking Paperen_US
dc.identifier.ppn686684524en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US

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