A direct test for the mean variance efficiency of a portfolio
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 26 (2002)
Issue (Month): 7-8 (July)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jedc
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Whitney K. Newey & Kenneth D. West, 1986.
"A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix,"
NBER Technical Working Papers
0055, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
- Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995.
"Bayesian Inference and Portfolio Efficiency,"
Review of Financial Studies,
Society for Financial Studies, vol. 8(1), pages 1-53.
- Shmuel Kandel & Robert McCulloch & Robert F. Stambaugh, 1993. "Bayesian Inference and Portfolio Efficiency," NBER Technical Working Papers 0134, National Bureau of Economic Research, Inc.
- Kandel, S. & McCulloch, R. & Stambaugh, R.F., 1991. "Bayesian Inference and Portfolio Efficiency," Weiss Center Working Papers 8-91, Wharton School - Weiss Center for International Financial Research.
- Wang, Zhenyu, 1998. "Efficiency loss and constraints on portfolio holdings," Journal of Financial Economics, Elsevier, vol. 48(3), pages 359-375, June.
- Hansen, Lars Peter & Heaton, John & Luttmer, Erzo G J, 1995.
"Econometric Evaluation of Asset Pricing Models,"
Review of Financial Studies,
Society for Financial Studies, vol. 8(2), pages 237-74.
- Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. " Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
- Sharpe, William F., 1990.
"Capital Asset Prices With and Without Negative Holding,"
Nobel Prize in Economics documents
1990-3, Nobel Prize Committee.
- Sharpe, William F, 1991. " Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
- Green, R.C. & Hollifield, B., 1990.
"When Will Mean-Variance Efficient Portfolios Be Well Diversified?,"
GSIA Working Papers
1990-12, Carnegie Mellon University, Tepper School of Business.
- Green, Richard C & Hollifield, Burton, 1992. " When Will Mean-Variance Efficient Portfolios Be Well Diversified?," Journal of Finance, American Finance Association, vol. 47(5), pages 1785-809, December.
- Alexander, Gordon J, 1993. " Short Selling and Efficient Sets," Journal of Finance, American Finance Association, vol. 48(4), pages 1497-1506, September.
- Alessandro Bucciol & Raffaele Miniaci, 2006.
"Optimal asset allocation based on utility maximization in the presence of market frictions,"
"Marco Fanno" Working Papers
0012, Dipartimento di Scienze Economiche "Marco Fanno".
- Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal Asset Allocation Based on Utility Maximization in the Presence of Market Frictions," Working Papers ubs0605, University of Brescia, Department of Economics.
- Szafarz, Ariane & Oosterlinck, Kim & Mignon, Valérie & Drut, Bastien & Brière, Marie, 2011. "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," Economics Papers from University Paris Dauphine 123456789/9297, Paris Dauphine University.
- Ehling, Paul & Ramos, Sofia B., 2006.
"Geographic versus industry diversification: Constraints matter,"
Journal of Empirical Finance,
Elsevier, vol. 13(4-5), pages 396-416, October.
- Ehling, Paul & Ramos, Sofia Brito, 2005. "Geographic versus industry diversification: constraints matter," Working Paper Series 0425, European Central Bank.
- Paul EHLING & Sofia B. RAMOS, 2004. "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series rp113, International Center for Financial Asset Management and Engineering.
- Bastien Drut, 2009.
"Sovereign Bonds and Socially Responsible Investment,"
EconomiX Working Papers
2009-17, University of Paris West - Nanterre la Défense, EconomiX.
- Bastien Drut, 2010. "Sovereign Bonds and Socially Responsible Investment," Journal of Business Ethics, Springer, vol. 92(1), pages 131-145, April.
- Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," Working Papers CEB 09-014.RS, ULB -- Universite Libre de Bruxelles.
- Chiou, Wan-Jiun Paul & Lee, Alice C. & Chang, Chiu-Chi A., 2009. "Do investors still benefit from international diversification with investment constraints?," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 448-483, May.
- Rodolfo Aquino, 2006. "A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period," Applied Economics, Taylor and Francis Journals, vol. 38(3), pages 353-362.
- Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
- Larsen, Ryan A. & Vedenov, Dmitry V. & Leatham, David J., 2009. "Enterprise-level risk assessment of geographically diversified commercial farms: a copula approach," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46763, Southern Agricultural Economics Association.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.