This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Spanning with Zero-Price Investment Assets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Galvani, Valentina () (University of Alberta, Department of Economics)
Plourde, Andre () (University of Alberta, Department of Economics)

Additional information is available for the following registered author(s):

Abstract

Regression-based testing techniques has long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This work derives regression-based spanning tests for the case in which the investment possibilities set contains, or is constituted by, zero-investment assets. An empirical example illustrates that ignoring the zero-cost qualification of these assets might lead to wrong spanning propositions.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. 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.

File URL: http://www.uofaweb.ualberta.ca/economics2/pdfs/WP2009-05-Galvani-Plourde.pdf
File Format: application/pdf
File Function: Full text
Download Restriction: no

Publisher Info
Paper provided by University of Alberta, Department of Economics in its series Working Papers with number 2009-5.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 21 pages
Date of creation: 31 Jan 2009
Date of revision:
Handle: RePEc:ris:albaec:2009_005

Contact details of provider:
Postal: 8-14 HM Tory, Edmonton, Alberta, T6G 2H4
Phone: (780) 492-3406
Fax: (780) 492-3300
Web page: http://www.uofaweb.ualberta.ca/economics/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Brenda Carrier).

Related research
Keywords: mean-variance spanning; diversification benefits; portfolio choice; futures markets;

Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure
M21 - Business Administration and Business Economics; Marketing; Accounting - - Business Economics - - - Business Economics

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? About 2700 working paper series are listed on RePEc.

This page was last updated on 2009-11-26.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.