2 papers
q-fin.PM2020
Spanning analysis of stock market anomalies under Prospect Stochastic Dominance
Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investor…
q-fin.ST2018
Spanning Tests for Markowitz Stochastic Dominance
Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou
We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order…