SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Tests of Mean-Variance Spanning · Study

PreprintShelves

PreprintTests of Mean-Variance Spanning

Raymond Kan2000

OA

Preprintgreen2000

Tests of Mean-Variance Spanning

Raymond Kan · Guofu Zhou

50 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 50 citations exist upstream.

References

1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1980On estimating the expected return on the market 1989A Test of the Efficiency of a Given Portfolio 1992On the Estimation of Beta-Pricing Models 1991Implications of Security Market Data for Models of Dynamic Economies 1972An Analytic Derivation of the Efficient Portfolio Frontier

Cited by

2009The econometrics of mean‐variance efficiency tests: a survey 2015Country selection strategies based on value, size and momentum 2005Momentum in Futures Markets 2005An empirical examination of the benefits of international diversification 2012Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 2005Are Euro Area Small Cap Stocks an Asset Class? Evidence from Mean‐Variance Spanning Tests

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2009The econometrics of mean‐variance efficiency tests: a surveyarticle · 14 shared references 1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 10 shared references 2013International Diversification Benefits with Foreign Exchange Investment Stylesarticle · 9 shared references 2012Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approacharticle · 9 shared references 199623 Statistical methods in tests of portfolio efficiency: A synthesischapter · 8 shared references 2010The Analysis of the Cross-Section of Security Returnschapter · 8 shared references

Details

Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations50

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.231522

openalex_workW2148386749

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2015Is there a low-risk anomaly across countries?

2008Emerging Market Bond Funds: A Comprehensive Analysis