Inference on sets in finance

Victor Chernozhukov, Emre Kocatulum and Konrad Menzel

No 04/12, CeMMAP working papers from Institute for Fiscal Studies

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 mean-variance sets of stochastic discount factors and the admissible mean-variance sets of asset portfolios. We propose to make inference on such sets using weighted likelihood-ratio and Wald type statistics, building upon and substantially enriching the available methods for inference on sets.

Date: 2012-02-05
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Related works:
Journal Article: Inference on sets in finance (2015)
Working Paper: Inference on Sets in Finance (2012)
Working Paper: Inference on sets in finance (2012)
Working Paper: Inference on sets in finance (2012)
Working Paper: Inference on sets in finance (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:04/12

DOI: 10.1920/wp.cem.2012.0412

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