A REVISED GEOMETRY OF MEAN-VARIANCE EFFICIENT PORTFOLIOS
β Scribed by Hans G. Ehrbar
- Book ID
- 111044439
- Publisher
- John Wiley and Sons
- Year
- 1993
- Tongue
- English
- Weight
- 928 KB
- Volume
- 44
- Category
- Article
- ISSN
- 0026-1386
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
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
## Abstract We investigate households' portfolio choice using a microeconometric approach derived from meanβvariance optimization. We assume that households have heterogeneous expectations on the distribution of excess returns and that they cannot take short positions in risky assets. Assuming two