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Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio

โœ Scribed by Kevin Q. Wang


Book ID
117628134
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
234 KB
Volume
9
Category
Article
ISSN
0927-5398

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A direct test for the mean variance effi
โœ Gopal Basak; Ravi Jagannathan; Guoqiang Sun ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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