A Test of the Efficiency of a Given Portfolio
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Publication:4729226
DOI10.2307/1913625zbMath0679.62097OpenAlexW2149990348WikidataQ56445509 ScholiaQ56445509MaRDI QIDQ4729226
Jay Shanken, Michael Gibbons, Stephen A. Ross
Publication date: 1989
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1913625
sensitivityasset pricingefficiencypower functionexamplesportfolio choiceCAPMdiagnostic toolssmall sample distributionportfolio of assetsmultivariate approachunivariate test
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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