Stelios Arvanitis

Athens University of Economics and Business

76 Patission Street

Athens, 104 34

GREECE

  • Athens University of Economics and Business

SCHOLARLY PAPERS

9

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1,126

SSRN CITATIONS

8

CROSSREF CITATIONS

4

Scholarly Papers (9)

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1.

Portfolio Construction Based on Stochastic Dominance and Empirical Likelihood

Number of pages: 44 Posted: 24 Aug 2016 Last Revised: 08 Jan 2018
Thierry Post, Selcuk Karabati and Stelios Arvanitis
Graduate School of Business of Nazarbayev University, Koc University - College of Administrative Sciences and Economics and Athens University of Economics and Business
Downloads 448 (91,331)
Citation 2

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Stochastic Dominance, Empirical Likelihood, Portfolio optimization, Momentum strategies

2.

Stochastic Spanning

Number of pages: 29 Posted: 09 Mar 2015 Last Revised: 23 Oct 2016
Stelios Arvanitis, Mark Hallam and Thierry Post
Athens University of Economics and Business, University of Essex - Essex Business School and Graduate School of Business of Nazarbayev University
Downloads 198 (213,375)
Citation 3

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Portfolio choice, Stochastic Dominance, Spanning, Subsampling, Linear Programming, Asset Pricing

3.

Stochastic Bounds for Reference Sets in Portfolio Analysis

Number of pages: 50 Posted: 31 May 2018 Last Revised: 27 Mar 2020
Stelios Arvanitis, Thierry Post and Nikolas Topaloglou
Athens University of Economics and Business, Graduate School of Business of Nazarbayev University and Athens University of Economics and Business
Downloads 167 (247,071)
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Portfolio Analysis, Stochastic Dominance, Subsampling, Linear Programming, Enhanced Benchmarking

4.

Ordering Arbitrage Portfolios and Finding Arbitrage Opportunities

Number of pages: 47 Posted: 19 Apr 2021 Last Revised: 25 Jul 2022
Stelios Arvanitis and Thierry Post
Athens University of Economics and Business and Graduate School of Business of Nazarbayev University
Downloads 126 (308,849)

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Portfolio analysis; Arbitrage portfolios; Asset pricing; Incomplete markets; Factor investing

5.

Robust Optimization of Forecast Combinations

Number of pages: 25 Posted: 18 Apr 2018 Last Revised: 23 Jul 2018
Thierry Post, Selcuk Karabati and Stelios Arvanitis
Graduate School of Business of Nazarbayev University, Koc University - College of Administrative Sciences and Economics and Athens University of Economics and Business
Downloads 88 (392,567)
Citation 1

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Forecasting, Robust Optimization, Stochastic Dominance, Convex Optimization

6.

Nonparametric Tests for Superior Predictive Ability

Number of pages: 64 Posted: 12 Oct 2018 Last Revised: 08 Mar 2020
Stelios Arvanitis, Selcuk Karabati, Thierry Post and Valerio Potì
Athens University of Economics and Business, Koc University - College of Administrative Sciences and Economics, Graduate School of Business of Nazarbayev University and University College Dublin
Downloads 63 (471,763)
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Forecast Comparison, Stochastic Dominance, Empirical Likelihood, Inflation Forecasting

7.

Technical Appendix of: Stochastic Bounds for Benchmark Sets in Portfolio Analysis

Number of pages: 25 Posted: 23 Jul 2019 Last Revised: 02 Jun 2020
Stelios Arvanitis, Thierry Post and Nikolas Topaloglou
Athens University of Economics and Business, Graduate School of Business of Nazarbayev University and Athens University of Economics and Business
Downloads 22 (686,251)
Citation 1

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Portfolio Analysis, Stochastic Dominance, Subsampling, Linear Programming

8.

Time Dependence and Moments of a Family of Time-Varying Parameter GARCH in Mean Models

Number of pages: 25 Posted: 26 Apr 2004
Stelios Arvanitis and Antonis Demos
Athens University of Economics and Business and Athens University of Economics and Business
Downloads 13 (761,284)

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9.

A Simple Example of an Indirect Estimator with Discontinuous Limit Theory in the MA(1) Model

Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 536-557, 2014
Number of pages: 22 Posted: 24 Oct 2014
Stelios Arvanitis
Athens University of Economics and Business
Downloads 1 (890,552)

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Indirect estimator, binding function, indirect identification, MA (1) process, multiplicative structure, martingale difference CLT, CLT to stochastic integrals, sequence of local alternatives, rate of convergence dependent on the parameter, discontinuous weak limits, non‐regularity