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A comparison of mean–variance efficiency tests · Study

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ArticleA comparison of mean–variance efficiency tests

Dante Amengual2009

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A comparison of mean–variance efficiency tests

Dante Amengual · Enrique Sentana

40 citations·0/0 files stored·Journal of Econometrics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1993Common risk factors in the returns on stocks and bonds 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1952Portfolio Selection 1972The capital asset pricing model: Some empirical tests 1989A Test of the Efficiency of a Given Portfolio 1973Studies in the Theory of Capital Markets.1987Mean-Variance Spanning

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2012Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 2015Tests for serial dependence in static, non-Gaussian factor models

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Year2009

Typearticle

Published2009-07-02

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations40

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jeconom.2009.06.006

openalex_workW2116667384

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