Nikolas Topaloglou
Biographic Data
| ID | 8921224 |
|---|---|
| NAME | Nikolas Topaloglou |
| GIVEN NAMES | Nikolas |
| FAMILY NAME | Topaloglou |
| SIGNATURE | TOPALOGLOU N |
| AFFILIATIONS | Athens University of Economics and Business |
| ORCID | 0000-0002-2187-0748 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2010 |
| 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…
Stochastic Spanning
This study develops and implements methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for all risk averse investors. We develop a test procedure for “stochastic spanning” for two nested portfolio sets based on subsampling and linear programming. The test is statistically consistent and asymptotically exact for a class of weakly dependent processes. A Monte Carlo si…
Testing for Stochastic Dominance Efficiency
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed using linear and mixed integer programming formulations. Monte Carlo results show that the bootstrap procedure performs well in finite samples. The empir…
No prominent works on this page.
Testing for Stochastic Dominance Efficiency
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed using linear and mixed integer programming formulations. Monte Carlo results show that the bootstrap procedure performs well in finite samples. The empir…
Stochastic Spanning
This study develops and implements methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for all risk averse investors. We develop a test procedure for “stochastic spanning” for two nested portfolio sets based on subsampling and linear programming. The test is statistically consistent and asymptotically exact for a class of weakly dependent processes. A Monte Carlo si…
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…
Computer Science (2 works) · Econometrics (2 works) · Economics (2 works) · Financial Markets and Investment Strategies (2 works) · Mathematical optimization (2 works) · Mathematics (2 works) · Monetary Policy and Economic Impact (2 works) · Monte Carlo method (2 works) · Portfolio (2 works) · Risk and Portfolio Optimization (2 works)