Inference on sets in finance
We consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include the Hansen-Jagannathan sets of admissible stochastic discount factors, Markowitz-Fama mean-variance sets for asset po...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
The Econometric Society,
2018-02-21T18:15:23Z.
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| Subjects: | |
| Online Access: | Get fulltext |