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dc.contributor.authorChernozhukov, Victoren
dc.contributor.authorKocatulum, Emreen
dc.contributor.authorMenzel, Konraden
dc.date.accessioned2012-02-22-
dc.date.accessioned2012-10-16T13:09:06Z-
dc.date.available2012-10-16T13:09:06Z-
dc.date.issued2012-
dc.identifier.pidoi:10.1920/wp.cem.2012.0412en
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
dc.language.isoengen
dc.publisher|aCentre for Microdata Methods and Practice (cemmap) |cLondonen
dc.relation.ispartofseries|acemmap working paper |xCWP04/12en
dc.subject.jelC10en
dc.subject.jelC50en
dc.subject.ddc330en
dc.subject.keywordHansen-Jagannathan seten
dc.subject.keywordMarokowitz seten
dc.subject.keywordInferenceen
dc.titleInference on sets in finance-
dc.typeWorking Paperen
dc.identifier.ppn686684524en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:ifs:cemmap:04/12en

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