Nonparametric tests of efficiency of portfolio investment
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.
scientific article; zbMATH DE number 4097071