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The mean-variance efficiency of benchmark portfolios: UK evidence

โœ Scribed by Jonathan Fletcher


Book ID
116134861
Publisher
Elsevier Science
Year
1994
Tongue
English
Weight
775 KB
Volume
18
Category
Article
ISSN
0378-4266

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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