Spanning with Zero-Price Investment Assets
AbstractRegression-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.
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Bibliographic InfoPaper provided by University of Alberta, Department of Economics in its series Working Papers with number 2009-5.
Length: 21 pages
Date of creation: 31 Jan 2009
Date of revision:
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; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- M21 - Business Administration and Business Economics; Marketing; Accounting - - Business Economics - - - Business Economics
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