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A direct solution for the efficiency and gain of a CARM oscillator

✍ Scribed by Parks, P.B.


Book ID
117862036
Publisher
IEEE
Year
1990
Tongue
English
Weight
469 KB
Volume
18
Category
Article
ISSN
0093-3813

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A direct test for the mean variance effi
✍ Gopal Basak; Ravi Jagannathan; Guoqiang Sun πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 178 KB

We develop a direct test for examining the mean-variance e ciency of a given bench-mark asset return. Unlike traditional tests for mean-variance e ciency, this test allows for the possibility that short positions in the primitive assets may not be possible. Using this test, we cannot reject the hypo