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23 Statistical methods in tests of portfolio efficiency: A synthesis · Study

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Chapter23 Statistical methods in tests of portfolio efficiency: A synthesis

Jay A. Shanken1996

Chapter1996

23 Statistical methods in tests of portfolio efficiency: A synthesis

63 citations·0/0 files stored·Handbook of statistics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1973An Intertemporal Capital Asset Pricing Model 1981The relationship between return and market value of common stocks 1986Economic Forces and the Stock Market 1972Capital Market Equilibrium with Restricted Borrowing

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Year1996

Typechapter

Published1996-01-01

VenueHandbook of statistics

ISSN-L0169-7161

Languageen

Citations63

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0169-7161(96)14025-6

openalex_workW1550648564

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2012Identification-Robust Estimation and Testing of the Zero-Beta CAPM 2005The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market 1999Testing multi-beta asset pricing models 2009The econometrics of mean‐variance efficiency tests: a survey 2005An empirical examination of the benefits of international diversification 1999Security factors as linear combinations of economic variables 2017Inference on Risk Premia in the Presence of Omitted Factors