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The econometrics of mean-variance efficiency tests: a survey

โœ 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

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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