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Optimal Investment Selection with a Multitude of Projects


  • Cantor, David G
  • Lippman, Steven A


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  • Cantor, David G & Lippman, Steven A, 1995. "Optimal Investment Selection with a Multitude of Projects," Econometrica, Econometric Society, vol. 63(5), pages 1231-1240, September.
  • Handle: RePEc:ecm:emetrp:v:63:y:1995:i:5:p:1231-40

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    References listed on IDEAS

    1. Joel L. Horowitz, 1998. "Bootstrap Methods for Median Regression Models," Econometrica, Econometric Society, vol. 66(6), pages 1327-1352, November.
    2. Arthur Lewbel & Oliver Linton, 2002. "Nonparametric Censored and Truncated Regression," Econometrica, Econometric Society, vol. 70(2), pages 765-779, March.
    3. Andrews, Donald W K, 1994. "Asymptotics for Semiparametric Econometric Models via Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 62(1), pages 43-72, January.
    4. Donald J. Brown & Marten H. Wegkamp, 2002. "Weighted Minimum Mean-Square Distance from Independence Estimation," Econometrica, Econometric Society, vol. 70(5), pages 2035-2051, September.
    5. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
    6. Richard W. Blundell & Martin Browning & Ian A. Crawford, 2003. "Nonparametric Engel Curves and Revealed Preference," Econometrica, Econometric Society, vol. 71(1), pages 205-240, January.
    7. O. B. LINTON & R. CHEN & Wolfgang HÄRDLE, 1995. "An Analysis of Transformations for Additive Nonparanetric Regression," SFB 373 Discussion Papers 1995,68, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    8. Pakes, Ariel & Olley, Steven, 1995. "A limit theorem for a smooth class of semiparametric estimators," Journal of Econometrics, Elsevier, vol. 65(1), pages 295-332, January.
    9. Newey, Whitney K, 1994. "The Asymptotic Variance of Semiparametric Estimators," Econometrica, Econometric Society, vol. 62(6), pages 1349-1382, November.
    10. Manski, Charles F, 1983. "Closest Empirical Distribution Estimation," Econometrica, Econometric Society, vol. 51(2), pages 305-319, March.
    11. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
    12. Newey, Whitney K. & McFadden, Daniel, 1986. "Large sample estimation and hypothesis testing," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 36, pages 2111-2245 Elsevier.
    13. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
    14. Andrews, Donald W.K., 1995. "Nonparametric Kernel Estimation for Semiparametric Models," Econometric Theory, Cambridge University Press, vol. 11(03), pages 560-586, June.
    15. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-531, May.
    16. Chen, Songnian & Khan, Shakeeb, 2001. "Semiparametric Estimation Of A Partially Linear Censored Regression Model," Econometric Theory, Cambridge University Press, vol. 17(03), pages 567-590, June.
    17. repec:cup:etheor:v:11:y:1995:i:3:p:560-96 is not listed on IDEAS
    18. Powell, James L., 1984. "Least absolute deviations estimation for the censored regression model," Journal of Econometrics, Elsevier, vol. 25(3), pages 303-325, July.
    19. Xiaohong Chen & Xiaotong Shen, 1998. "Sieve Extremum Estimates for Weakly Dependent Data," Econometrica, Econometric Society, vol. 66(2), pages 289-314, March.
    20. Manski, Charles F., 1975. "Maximum score estimation of the stochastic utility model of choice," Journal of Econometrics, Elsevier, vol. 3(3), pages 205-228, August.
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    Cited by:

    1. Bidard, Christian, 1999. "Fixed capital and internal rate of return," Journal of Mathematical Economics, Elsevier, vol. 31(4), pages 523-541, May.
    2. Magni, Carlo Alberto, 2016. "Capital depreciation and the underdetermination of rate of return: A unifying perspective," Journal of Mathematical Economics, Elsevier, vol. 67(C), pages 54-79.
    3. Carassus, Laurence & Jouini, Elyes, 2000. "A discrete stochastic model for investment with an application to the transaction costs case," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 57-80, February.
    4. Igor Evstigneev & Dhruv Kapoor, 2009. "Arbitrage in stationary markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 5-12, May.
    5. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131, HAL.
    6. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
    7. Смоляк С.А., 2016. "О Проблеме Преждевременного Прекращения Инвестиционного Проекта," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(1), pages 67-78, январь.

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