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

✍ Scribed by Shmuel Kandel


Book ID
116126610
Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
935 KB
Volume
13
Category
Article
ISSN
0304-405X

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πŸ“œ SIMILAR VOLUMES


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