The econometrics of mean‐variance efficiency tests: a survey
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Publication:3653356
DOI10.1111/j.1368-423X.2009.00295.xzbMath1178.91232MaRDI QIDQ3653356
Publication date: 22 December 2009
Published in: The Econometrics Journal (Search for Journal in Brave)
generalized method of momentsmaximum likelihoodelliptical distributionsportfolio choiceexogeneitystochastic discount factorfinancial returnslinear factor pricing
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
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Uses Software
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