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The econometrics of mean-variance efficiency tests: a survey

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  • Enrique Sentana

Abstract

This paper provides a comprehensive survey of the econometrics of mean-variance efficiency tests. Starting with the classic F-test of Gibbons et al. (1989) and its generalized method of moments version, I analyse the effects of the number of assets and portfolio composition on test power. I then discuss asymptotically equivalent tests based on portfolio weights, and study the trade-offs between efficiency and robustness of using parametric and semi-parametric likelihood procedures that assume either elliptical innovations or elliptical returns. After reviewing finite sample tests, I conclude with a discussion of mean-variance-skewness efficiency and spanning tests, and other interesting extensions. Copyright The Author(s). Journal compilation Royal Economic Society 2009

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Bibliographic Info

Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 12 (2009)
Issue (Month): 3 (November)
Pages: C65-C101

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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:3:p:c65-c101

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  2. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
  3. Roberto Serrano, 2009. "On Watson'S Non-Forcing Contracts And Renegotiation," Working Papers wp2009_0907, CEMFI.
  4. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
  5. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, And Debt Valuation," Working Papers wp2009_0902, CEMFI.
  6. Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: a Unified Approach ot Exact and Approximate Implementation," Working Papers 2009-11, Brown University, Department of Economics.
  7. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.

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