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Mean-Variance Spanning

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  • Huberman, Gur
  • Kandel, Shmuel

Abstract

The authors propose a likelihood- ratio test of the hypothesis that the minimum-variance frontier of a set of K assets coincides with the frontier of this set and another s et of N assets. They study the relation between this hypothesis, exac t arbitrage pricing, and mutual-fund separation. The exact distributi on of the test statistic is presented. The authors test the hypothesi s that the frontier spanned by three size-sorted stock portfolios is the same as the frontier spanned by thirty-three size-sorted stock po rtfolios. Copyright 1987 by American Finance Association.

Suggested Citation

  • Huberman, Gur & Kandel, Shmuel, 1987. "Mean-Variance Spanning," Journal of Finance, American Finance Association, vol. 42(4), pages 873-888, September.
    • Handle: RePEc:bla:jfinan:v:42:y:1987:i:4:p:873-88
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