✦ LIBER ✦

The econometrics of mean-variance efficiency tests: a survey

✍ Scribed by Enrique Sentana

Book ID: 110880128
Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 379 KB
Volume: 12
Category: Article
ISSN: 1368-4221
DOI: 10.1111/j.1368-423x.2009.00295.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Exact distribution-free tests of mean-va

Exact distribution-free tests of mean-variance efficiency

✍ Sermin Gungor; Richard Luger 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 237 KB

Testing for mean-variance spanning: a su

Testing for mean-variance spanning: a survey

✍ Frans A. DeRoon; Theo E. Nijman 📂 Article 📅 2001 🏛 Elsevier Science 🌐 English ⚖ 279 KB

Tests of conditional mean-variance effic

Tests of conditional mean-variance efficiency of the U.S. stock market

✍ Charles Engel; Jeffrey A. Frankel; Kenneth A. Froot; Anthony P. Rodrigues 📂 Article 📅 1995 🏛 Elsevier Science 🌐 English ⚖ 765 KB

Nonparametric tests of conditional mean-

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

✍ Kevin Q. Wang 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 234 KB

A direct test for the mean variance effi

A direct test for the mean variance efficiency of a portfolio

✍ Gopal Basak; Ravi Jagannathan; Guoqiang Sun 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 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

The likelihood ratio test statistic of m

The likelihood ratio test statistic of mean-variance efficiency without a riskless asset

✍ Shmuel Kandel 📂 Article 📅 1984 🏛 Elsevier Science 🌐 English ⚖ 935 KB