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Citations for "Testing for Mean-Variance spanning with short sales constraints and transaction costs: The case of emerging markets"

by Nijman, T.E. & Roon, F.A. de & Werker, B.J.M.

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  1. Chiou, Wan-Jiun Paul, 2009. "Benefits of international diversification with investment constraints: An over-time perspective," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 19(2), pages 93-110, April.
  2. Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
  3. Galema, Rients & Lensink, Robert & Spierdijk, Laura, 2011. "International diversification and Microfinance," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(3), pages 507-515, April.
  4. Raymond Kan & Guofu Zhou, 2012. "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 139-187, May.
  5. Didier, Tatiana & Rigobon, Roberto & Schmukler, Sergio L., 2011. "Unexploited gains from international diversification : patterns of portfolio holdings around the world," Policy Research Working Paper Series 5524, The World Bank.
  6. Bekaert, Geert & Harvey, Campbell R., 2002. "Research in emerging markets finance: looking to the future," Emerging Markets Review, Elsevier, Elsevier, vol. 3(4), pages 429-448, December.
  7. van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003. "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(1-2), pages 105-132, February.
  8. David M. Schizer & Michael R. Powers & Martin Shubik, 2003. "Market Bubbles and Wasteful Avoidance: Tax and Regulatory Constraints on Short Sales," Yale School of Management Working Papers, Yale School of Management ysm356, Yale School of Management.
  9. Galvani, Valentina & Plourde, André, 2010. "Portfolio diversification in energy markets," Energy Economics, Elsevier, Elsevier, vol. 32(2), pages 257-268, March.
  10. Cheung, C. Sherman & Kwan, Clarence C.Y. & Mountain, Dean C., 2009. "On the nature of mean-variance spanning," Finance Research Letters, Elsevier, Elsevier, vol. 6(2), pages 106-113, June.
  11. de Roon, Frans & Eichholtz, Piet & Koedijk, Kees, 2002. "The Portfolio Implications of Home Ownership," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3501, C.E.P.R. Discussion Papers.
  12. Enrique Sentana, 2008. "The Econometrics Of Mean-Variance Efficiency Tests: A Survey," Working Papers, CEMFI wp2008_0807, CEMFI.
  13. Nijman, T.E. & Roon, F.A. de, 2001. "Testing for mean-variance spanning: A survey," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-87531, Tilburg University.
  14. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series, European Central Bank 0883, European Central Bank.
  15. Fletcher, Jonathan & Marshall, Andrew, 2005. "An empirical examination of the benefits of international diversification," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 15(5), pages 455-468, December.
  16. Chiou, Wan-Jiun Paul, 2008. "Who benefits more from international diversification?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 18(5), pages 466-482, December.
  17. Hagelin, Niclas & Pramborg, Bengt, 2004. "Dynamic investment strategies with and without emerging equity markets," Emerging Markets Review, Elsevier, Elsevier, vol. 5(2), pages 193-215, June.
  18. Piti Disyatat & Gaston Gelos, 2001. "The Asset Allocation of Emerging Market Mutual Funds," IMF Working Papers 01/111, International Monetary Fund.
  19. repec:dgr:uvatin:2001009 is not listed on IDEAS
  20. Zhenyu Wang & Asani Sarkar & Kai Li, 1999. "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports, Federal Reserve Bank of New York 89, Federal Reserve Bank of New York.
  21. Thapa, Chandra & Poshakwale, Sunil S., 2010. "International equity portfolio allocations and transaction costs," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(11), pages 2627-2638, November.
  22. Marie Briere & Ariane Szafarz, 2011. "Investment in Microfinance Equity: Risk, Return, and Diversification Benefits," Working Papers CEB, ULB -- Universite Libre de Bruxelles 11-050, ULB -- Universite Libre de Bruxelles.
  23. Ning Tang & Olivia S. Mitchell, 2008. "The Efficiency of Pension Plan Investment Menus: Investment Choices in Defined Contribution Pension Plans," Working Papers, University of Michigan, Michigan Retirement Research Center wp176, University of Michigan, Michigan Retirement Research Center.
  24. 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, Elsevier, vol. 31(5), pages 1249-1278.
  25. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(1), pages 1-41, January.
  26. Bastien Drut, 2010. "Sovereign Bonds and Socially Responsible Investment," Journal of Business Ethics, Springer, Springer, vol. 92(1), pages 131-145, April.
  27. Thapa, Chandra & Poshakwale, Sunil S., 2012. "Country-specific equity market characteristics and foreign equity portfolio allocation," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(2), pages 189-211.
  28. Jing-zhi Huang & Zhaodong Zhong, 2013. "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 46(1), pages 152-192, January.
  29. Jianqing Fan & Jingjin Zhang & Ke Yu, 2008. "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Papers 0812.2604, arXiv.org.
  30. Galvani, Valentina & Behnamian, Aslan, 2009. "A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds," Working Papers 2009-7, University of Alberta, Department of Economics.
  31. Kouwenberg, Roy & Salomons, Roelof, 2003. "Value investing in emerging markets : local macroeconomic risk and extrapolation," Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) 03E22, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  32. Bekaert, Geert & Harvey, Campbell R., 2003. "Emerging markets finance," Journal of Empirical Finance, Elsevier, Elsevier, vol. 10(1-2), pages 3-56, February.
  33. Jianqing Fan & Yingying Li & Ke Yu, 2010. "Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection," Papers 1004.4956, arXiv.org.
  34. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(7), pages 1851-1866.
  35. Elton, Edwin J. & Gruber, Martin J. & Blake, Christopher R., 2006. "The adequacy of investment choices offered by 401(k) plans," Journal of Public Economics, Elsevier, Elsevier, vol. 90(6-7), pages 1299-1314, August.
  36. Paul Chiou & Cheng-Few Lee, 2013. "Do investors still benefit from culturally home-biased diversification? An empirical study of China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 40(2), pages 341-381, February.
  37. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2013. "International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(2), pages 648-659.
  38. Glabadanidis, Paskalis, 2009. "Measuring the economic significance of mean-variance spanning," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 49(2), pages 596-616, May.
  39. van der Hart, J. & de Zwart, G.J. & van Dijk, D.J.C., 2005. "The Success Of Stock Selection Strategies In Emerging Markets: Is It Risk Or Behavioral Bias?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2005-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  40. Galvani, Valentina & Plourde, André, 2013. "Spanning with futures contracts," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 53(1), pages 61-72.
  41. Tang, Ning & Mitchell, Olivia S. & Mottola, Gary R. & Utkus, Stephen P., 2010. "The efficiency of sponsor and participant portfolio choices in 401(k) plans," Journal of Public Economics, Elsevier, Elsevier, vol. 94(11-12), pages 1073-1085, December.
  42. Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.