Nonparametric tests of efficiency of portfolio investment
type: Item
instance of: scholarly article
title: Nonparametric tests of efficiency of portfolio investment
zbMATH Open document ID: 0669.90010
DOI: 10.1007/BF01227605
author: J. K. Sengupta
published in: Journal of Economics
publication date: 1989-01-01T00:00:00Z
review text: A set of nonparametric tests is proposed here for characterizing the portfolio efficiency frontier from the observed data on returns. These tests classify the data set into two subsets, one containing the efficient points and the other comprising points which are relatively inefficient. The interface with the parametric approach is also discussed to show that these two approaches may be suitably combined so as to provide more powerful tests of capital market efficiency under various conditions of disequilibrium due to incomplete information and other reasons.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B06
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 4097071
zbMATH Keywords: mean variance
zbMATH Keywords: nonparametric tests
zbMATH Keywords: portfolio efficiency frontier
zbMATH Keywords: capital market efficiency
MaRDI profile type: Publication
cites work: Reexamination of the perfectness concept for equilibrium points in extensive games
cites work: Constrained games as complementary eigenvalue problems
cites work: Stochastic optimization and economic models
cites work: Q4161011
description: scientific article; zbMATH DE number 4097071