A direct test for the mean variance effi
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Gopal Basak; Ravi Jagannathan; Guoqiang Sun
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Article
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2002
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Elsevier Science
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English
β 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