A direct test for the mean variance efficiency of a portfolio.

DOI10.1016/S0165-1889(01)00044-6zbMath1033.91035OpenAlexW2126194361MaRDI QIDQ1605419

Ravi Jagannathan, Guoqiang Sun, Gopal Krishna Basak

Publication date: 15 July 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00044-6

zbMATH Keywords

stockstestmean-variance efficiencybench-mark asset

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

Related Items (1)

STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS

Cites Work

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• Introduction to sensitivity and stability analysis in nonlinear programming
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Common risk factors in the returns on stocks and bonds

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