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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/64645
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Chernozhukov, Victor | | en_US |
| dc.contributor.author | | Kocatulum, Emre | | en_US |
| dc.contributor.author | | Menzel, Konrad | | en_US |
| dc.date.accessioned | | 2012-02-22 | | en_US |
| dc.date.accessioned | | 2012-10-16T13:09:06Z | | - |
| dc.date.available | | 2012-10-16T13:09:06Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.pi | | doi:10.1920/wp.cem.2012.0412 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/64645 | | - |
| dc.description.abstract | | In 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.iso | | eng | | en_US |
| dc.publisher | | Centre for Microdata Methods and Practice London | | en_US |
| dc.relation.ispartofseries | | cemmap working paper CWP04/12 | | en_US |
| dc.subject.jel | | C10 | | en_US |
| dc.subject.jel | | C50 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Hansen-Jagannathan set | | en_US |
| dc.subject.keyword | | Marokowitz set | | en_US |
| dc.subject.keyword | | Inference | | en_US |
| dc.title | | Inference on sets in finance | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 686684524 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)
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