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 |
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The Econometric Society
2018
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| Online Access: | http://hdl.handle.net/1721.1/113854 https://orcid.org/0000-0002-3250-6714 |