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A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency

✍ Scribed by Richard Roll


Book ID
116126621
Publisher
Elsevier Science
Year
1985
Tongue
English
Weight
439 KB
Volume
14
Category
Article
ISSN
0304-405X

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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