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Title:Inference on sets in finance PDF Logo
Authors:Chernozhukov, Victor
Kocatulum, Emre
Menzel, Konrad
Issue Date:2012
Series/Report no.:cemmap working paper CWP04/12
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.
Subjects:Hansen-Jagannathan set
Marokowitz set
Inference
JEL:C10
C50
Persistent Identifier of the first edition:doi:10.1920/wp.cem.2012.0412
Document Type:Working Paper
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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