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On the selection of an efficient portfolio in the mean-variance approach

✍ Scribed by Peretti, Alberto


Book ID
126729529
Publisher
Informa UK (Taylor & Francis)
Year
2004
Tongue
English
Weight
253 KB
Volume
7
Category
Article
ISSN
0972-0502

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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