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Stochastic Spanning
2017
Journal of business & economic statistics
This study develops and implements methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for all risk averse investors. We develop a test procedure for "stochastic spanning" for two nested portfolio sets based on subsampling and linear programming. The test is statistically consistent and asymptotically exact for a class of weakly dependent processes. A Monte Carlo simulation experiment shows good statistical size
doi:10.1080/07350015.2017.1391099
fatcat:jdip5neakfhengwayaqrxwqlmq