Ανάρτηση Ερευνητικών Δοκιμίων no 20/23 και no 21/23
των Στυλιανού Αρβανίτη και Thierry Post
Περίληψη
A Stochastic Arbitrage Opportunity is a zero-cost investment portfolio that enhances every feasible host portfolio for all admissible utility functions. This concept generalizes simpler concepts based on dominating or enhancing a single benchmark portfolio. The present study provides a formal theory of consistent estimation of the set of all arbitrage portfolios that meet the description of being a Stochastic Arbitrage Opportunity. Two Empirical Likelihood Ratio tests are developed: one for the null that a given arbitrage portfolio is qualified and another one for the alternative that the portfolio is not qualified. Apart from considering generalized concepts and hypotheses based on multiple host portfolios, the statistical assumption framework is also more general than in earlier studies that focus on special cases with a single benchmark portfolio. Various extensions and generalizations of the theory are discussed.
Ο Στυλιανός Αρβανίτης είναι Καθηγητής στο τμήμα Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών και ο Thierry Post είναι Professor of Finance at the Graduate School of Business of Nazarbayev University
των Στυλιανού Αρβανίτη, Νικολάου Τοπάλογλου και Γεωργίου Τσομίδη
Περίληψη
We investigate whether Cryptoassets enhance optimal portfolio performance for the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We frame our analysis on the grounds of risk aversion w.r.t. perceived returns, and thus remain consistent with Second order Stochastic Dominance. Using the Stochastic Spanning criterion, we construct optimal portfolios with and without cryptoassets, allowing however for local non-stationarities and bubbles in the dynamics of the returns process. Additionally, we take into consideration the most exploited safe-haven asset, namely Gold, as well as the Covid-19 outbreak’s effect on the markets. Our out of sample comparative performance analysis indicates that investors impression of gains and losses affects significantly the aggregate performance of optimal portfolios and that cryptoassets are an attractive option for the examined investor types
Ο Στυλιανός Αρβανίτης είναι Καθηγητής στο τμήμα Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών, ο Νικόλαος Τοπάλογλου είναι Καθηγητής στο τμήμα Διεθνών και Ευρωπαϊκών Οικονομικών Σπουδών του Οικονομικού Πανεπιστημίου Αθηνών και ο Γεώργιος Τσομίδης είναι Διδάκτορας του τμήματος Οικονομικής Επιστήμης του Οικονομικού Πανεπιστημίου Αθηνών
Πατησίων 76
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