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

Kevin Q. Wang2002

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Articlegreen2002

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

23 citations·0/0 files stored·Journal of Empirical Finance

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

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References

1993Common risk factors in the returns on stocks and bonds 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*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.]1988A Capital Asset Pricing Model with Time-Varying Covariances 1996The Conditional CAPM and the Cross-Section of Expected Returns 1996Measuring Fund Strategy and Performance in Changing Economic Conditions

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Year2002

Typearticle

Published2002-03-01

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations23

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s0927-5398(01)00049-4

openalex_workW1978504083

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1990

Alternative models for conditional stock volatility

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2009Some recent developments in nonparametric finance