Nonparametric tests of efficiency of portfolio investment

DOI10.1007/BF01227605zbMath0669.90010MaRDI QIDQ1119145

Jati K. Sengupta

Publication date: 1989

Published in: Journal of Economics (Search for Journal in Brave)

zbMATH Keywords

mean variancenonparametric testscapital market efficiencyportfolio efficiency frontier

Mathematics Subject Classification ID

Related Items (4)

Portfolio efficiency tests based on stochastic dominance and co-integration ⋮ Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function ⋮ Robust decisions in economic models ⋮ Maximum probability dominance and portfolio theory

Cites Work

• Unnamed Item
• Stochastic optimization and economic models
• Constrained games as complementary eigenvalue problems
• Reexamination of the perfectness concept for equilibrium points in extensive games

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