Sofia Anyfantaki
Biographic Data
| ID | 8921222 |
|---|---|
| NAME | Sofia Anyfantaki |
| GIVEN NAMES | Sofia |
| FAMILY NAME | Anyfantaki |
| SIGNATURE | ANYFANTAKI S |
| AFFILIATIONS | Economic Analysis & Research Department, Bank of Greece, Athens, Greece |
| ORCID | 0000-0002-5449-4996 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 0 |
Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utility (loss) functions and unknown distribution of returns. Evidence is based on statistical tests for the null of stochastic uniform inefficiency of a given portfolio. The alternative is that there is at least one portfolio that dominates it. We derive an…
No prominent works on this page.
Evidence of Uniform Inefficiency in Market Portfolios Based on Dominance Tests
We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utility (loss) functions and unknown distribution of returns. Evidence is based on statistical tests for the null of stochastic uniform inefficiency of a given portfolio. The alternative is that there is at least one portfolio that dominates it. We derive an…
Capital asset pricing model (1 work) · Econometrics (1 work) · Economics (1 work) · Empirical distribution function (1 work) · Financial economics (1 work) · Financial Markets and Investment Strategies (1 work) · Housing Market and Economics (1 work) · Inefficiency (1 work) · Market portfolio (1 work) · Mathematical optimization (1 work)