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The econometrics of efficient portfolios

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Author Info
Gourieroux, C.
Monfort, A.

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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 12 (2005)
Issue (Month): 1 (January)
Pages: 1-41
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Handle: RePEc:eee:empfin:v:12:y:2005:i:1:p:1-41

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  1. Melenberg, Bertrand & Polbennikov, Simon, 2005. "Testing for mean-coherent regular risk spanning," Discussion Paper 99, Tilburg University, Center for Economic Research. [Downloadable!]
  2. Olha Bodnar & Taras Bodnar, 2009. "Statistical inference procedure for the mean–variance efficient frontier with estimated parameters," AStA Advances in Statistical Analysis, Springer, vol. 93(3), pages 295-306, September. [Downloadable!] (restricted)
  3. Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management. [Downloadable!]
  4. 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". [Downloadable!]
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  5. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Elger, Thomas & Nilsson, Birger, 2007. "Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK," Working Papers 2008:1, Lund University, Department of Economics.
    Other versions:
  6. Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests In Return And Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI. [Downloadable!]
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