Stelios Arvanitis

Athens University of Economics and Business

76 Patission Street

Athens, 104 34

GREECE

SCHOLARLY PAPERS

9

DOWNLOADS

1,661

SSRN CITATIONS

9

CROSSREF CITATIONS

5

Scholarly Papers (9)

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 470 (110,457)
Citation 6

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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 York - Department of Economics and Related Studies and Graduate School of Business of Nazarbayev University
Downloads 235 (233,167)
Citation 2

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

3.

Generalized Stochastic Arbitrage Opportunities

Number of pages: 45 Posted: 19 Apr 2021 Last Revised: 03 Apr 2023
Stelios Arvanitis and Thierry Post
Athens University of Economics and Business and Graduate School of Business of Nazarbayev University
Downloads 230 (237,974)

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

4.

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 218 (250,348)
Citation 1

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Portfolio Analysis, Stochastic Dominance, Subsampling, Linear Programming, Enhanced Benchmarking

5.

Diversification, Integration and Cryptocurrency Market

Bank of Greece Working Paper No. 244
Number of pages: 33 Posted: 23 Aug 2022
Sofia Anyfantaki, Stelios Arvanitis and Nikolas Topaloglou
Bank of Greece, Athens University of Economics and Business and Athens University of Economics and Business
Downloads 187 (288,007)
Citation 10

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Cryptocurrencies, Portfolio choice, Second Order Stochastic dominance, Stochastic Spanning, Diversification, Market Integration, Market Segmentation

6.

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 120 (413,935)
Citation 1

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Forecasting, Robust Optimization, Stochastic Dominance, Convex Optimization

7.

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 88 (513,431)
Citation 2

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Forecast Comparison, Stochastic Dominance, Empirical Likelihood, Inflation Forecasting

8.

Stochastic Arbitrage Opportunities: Set Estimation and Statistical Testing

Number of pages: 16 Posted: 18 Nov 2022
Stelios Arvanitis and Thierry Post
Athens University of Economics and Business and Graduate School of Business of Nazarbayev University
Downloads 76 (560,304)

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Portfolio analysis; Arbitrage portfolios; Asset pricing; Asymptotic statistics; Empirical Likelihood.

9.

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 37 (777,637)
Citation 1

Abstract:

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Portfolio Analysis, Stochastic Dominance, Subsampling, Linear Programming