Inference on sets in finance

DOI10.3982/QE387zbMath1396.91810arXiv1211.4282OpenAlexW2887886715MaRDI QIDQ4586178

Emre Kocatulum, Victor Chernozhukov, Konrad Menzel

Publication date: 12 September 2018

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.4282

zbMATH Keywords

inferenceconfidence setsHansen-Jagannathan boundChetty boundsMarkowitz-Fama boundsmean-variance setsoptimization frictions

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Posterior contraction and credible sets for filaments of regression functions ⋮ ASYMPTOTICALLY EFFICIENT ESTIMATION OF WEIGHTED AVERAGE DERIVATIVES WITH AN INTERVAL CENSORED VARIABLE ⋮ A geometric approach to inference in set-identified entry games ⋮ Bayesian inference for partially identified smooth convex models ⋮ Posterior contraction and credible regions for level sets

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