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

25 Pages Posted: 23 Jul 2019 Last revised: 2 Jun 2020

See all articles by Stelios Arvanitis

Stelios Arvanitis

Athens University of Economics and Business

Thierry Post

Graduate School of Business of Nazarbayev University

Nikolas Topaloglou

Athens University of Economics and Business

Date Written: July 21, 2019

Abstract

This supplementary Technical Appendix contains formal proofs of the propositions which are stated in Anyfantaki, S., S. Arvanitis, S., Th. Post, Th. and N. Topaloglou, 2019, 'Stochastic Bounds for Portfolio Analysis', available at SSRN:https://ssrn.com/abstract=3181869 or http://dx.doi.org/10.2139/ssrn.3181869, together with additional results and references.


Keywords: Portfolio Analysis, Stochastic Dominance, Subsampling, Linear Programming

JEL Classification: C61, D81, G11

Suggested Citation

Arvanitis, Stelios and Post, Thierry and Topaloglou, Nikolas, Technical Appendix of: Stochastic Bounds for Benchmark Sets in Portfolio Analysis (July 21, 2019). Available at SSRN: https://ssrn.com/abstract=3423496 or http://dx.doi.org/10.2139/ssrn.3423496

Stelios Arvanitis

Athens University of Economics and Business ( email )

76 Patission Street
Athens, 104 34
GREECE

Thierry Post (Contact Author)

Graduate School of Business of Nazarbayev University ( email )

53 Kabanbay Batyra Avenue
Astana, 010000
Kazakhstan

Nikolas Topaloglou

Athens University of Economics and Business ( email )

76, Patision street
Athens, GR10434
Greece

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