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A comparison of mean–variance efficiency tests
16 references·5 citing·32 second hop
A comparison of mean–variance efficiency tests (2009)A comparison of mean–variance efficiency …The Econometrics of Financial Markets (2012)The Econometrics of Financial…Testing for mean-variance spanning: a survey (2001)Testing for mean-variance spa…Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)Can the Gains from Internatio…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Necessary Conditions for the CAPM (1997)Necessary Conditions for the …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Asset-Pricing Tests Under Alternative Distributions (1993)Asset-Pricing Tests Under Alt…Using Generalized Method of Moments to Test Mean-Variance Efficiency (1991)Using Generalized Method of M…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Mean-Variance Spanning (1987)Mean-Variance SpanningOn the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice (1983)On the Class of Elliptical Di…A characterization of the distributions that imply mean—Variance utility functions (1983)A characterization of the dis…Estimation for Markowitz Efficient Portfolios (1980)Estimation for Markowitz Effi…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Portfolio Selection (1952)Portfolio SelectionNew testing approaches for mean–variance predictability (2020)New testing approaches for me…Tests for serial dependence in static, non-Gaussian factor models (2015)Tests for serial dependence i…Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach (2012)Spanning tests in return and …Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation (2010)Multiplicity of mixed equilib…Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions (2010)Asset-pricing anomalies and s…Portfolio Selection: Efficient Diversification of Investments (1959)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)THE 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.] (1975)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Capital Market Equilibrium with Restricted Borrowing (1972)Multifactor models do not explain deviations from the CAPM (1995)Stock return predictability and model uncertainty (2002)Portfolio selection with higher moments (2010)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)The specification of conditional expectations (2001)Optimal Portfolio Allocation under Higher Moments (2006)Multivariate tests of financial models (1982)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The empirical foundations of the arbitrage pricing theory (1988)Diversification, Integration and Emerging Market Closed‐End Funds (1996)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1952Portfolio Selection4,609 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1987Mean-Variance Spanning590 cited
  • 1980Estimation for Markowitz Efficient Portfolios554 cited
  • 1983A characterization of the distributions that imply mean—Variance utility functions435 cited
  • 1983On the Class of Elliptical Distributions and their Applications to the Theory of Portfolio Choice372 cited
  • 1999Can the Gains from International Diversification Be Achieved without Trading Abroad?365 cited
  • 1991Using Generalized Method of Moments to Test Mean-Variance Efficiency306 cited
  • 1993Asset-Pricing Tests Under Alternative Distributions168 cited
  • 2001Testing for mean-variance spanning: a survey167 cited
  • 1997Necessary Conditions for the CAPM

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Cited by

  • 2012Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach34 cited
  • 2010Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation33 cited
  • 2015Tests for serial dependence in static, non-Gaussian factor models31 cited
  • 2020New testing approaches for mean–variance predictability23 cited
  • 2010Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions20 cited