Pages that link to "Item:Q4729226"
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The following pages link to A Test of the Efficiency of a Given Portfolio (Q4729226):
Displaying 50 items.
- Standard stochastic dominance (Q320827) (← links)
- Generalized \(T_{3}\)-plot for testing high-dimensional normality (Q335560) (← links)
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
- A Bayesian information criterion for portfolio selection (Q429627) (← links)
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
- Unexplained factors and their effects on second pass \(R\)-squared's (Q496150) (← links)
- Testing for prospect and Markowitz stochastic dominance efficiency (Q524818) (← links)
- Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach (Q528047) (← links)
- Making inefficient market indices efficient (Q617525) (← links)
- Pricing errors and estimates of risk premia in factor models (Q666460) (← links)
- Sequential monitoring of portfolio betas (Q725685) (← links)
- Bayesian hypothesis testing in latent variable models (Q738117) (← links)
- Exact and asymptotic tests on a factor model in low and large dimensions with applications (Q739589) (← links)
- A test for the weights of the global minimum variance portfolio in an elliptical model (Q745427) (← links)
- Residual risk revisited (Q914318) (← links)
- Portfolio selection in multidimensional general and partial moment space (Q964574) (← links)
- Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series (Q1298462) (← links)
- Consistent model specification tests for time series econometric models (Q1302761) (← links)
- Determination and estimation of risk aversion coefficients (Q1616811) (← links)
- Identification and inference in two-pass asset pricing models (Q1656372) (← links)
- Comparing large-sample maximum Sharpe ratios and incremental variable testing (Q1681279) (← links)
- Comparison of the multicriteria decision-making methods for equity portfolio selection: the U.S. evidence (Q1681292) (← links)
- Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach (Q1753053) (← links)
- A simple test of optimal hedging policy (Q1950751) (← links)
- Max-sum tests for cross-sectional independence of high-dimensional panel data (Q2131268) (← links)
- Stochastic dominance tests (Q2177995) (← links)
- Consistent non-Gaussian pseudo maximum likelihood estimators (Q2280575) (← links)
- Bayesian inference of the multi-period optimal portfolio for an exponential utility (Q2293380) (← links)
- Expected profitability and the cross-section of stock returns (Q2324687) (← links)
- A diagnostic criterion for approximate factor structure (Q2330733) (← links)
- On the equivalence of quadratic optimization problems commonly used in portfolio theory (Q2355895) (← links)
- A general test for SSD portfolio efficiency (Q2516639) (← links)
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (Q2630119) (← links)
- A comparison of mean-variance efficiency tests (Q2630146) (← links)
- The large-sample distribution of the maximum Sharpe ratio with and without short sales (Q2630355) (← links)
- Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model (Q2633428) (← links)
- Augmented factor models with applications to validating market risk factors and forecasting bond risk premia (Q2658786) (← links)
- Investor overconfidence and the security market line: new evidence from China (Q2661658) (← links)
- High-dimensional test for alpha in linear factor pricing models with sparse alternatives (Q2673200) (← links)
- On the exact distribution of the estimated expected utility portfolio weights: Theory and applications (Q3107437) (← links)
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705) (← links)
- PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES (Q3393982) (← links)
- EWMA Control Charts for Monitoring Optimal Portfolio Weights (Q3445887) (← links)
- The econometrics of mean‐variance efficiency tests: a survey (Q3653356) (← links)
- Exact testing in multivariate regression (Q4355160) (← links)
- A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting (Q5003657) (← links)
- AN IMPROVED TEST OF THE SQUARED SHARPE RATIO (Q5051915) (← links)
- Index tracking with utility enhanced weighting (Q5212067) (← links)
- Safety-first portfolio selection (Q5918317) (← links)
- Statistical inference procedure for the mean-variance efficient frontier with estimated parameters (Q5963003) (← links)
