Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/64645 
Year of Publication: 
2012
Series/Report no.: 
cemmap working paper No. CWP04/12
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
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: 
Document Type: 
Working Paper

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