The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights
This paper presents an exact finite-sample statistical procedure for testing hypotheses about the weights of mean-variance efficient portfolios. The estimation and inference procedures on efficient portfolio weights are performed in the same way as for the coefficients in an OLS regression. OLS "t"- and "F"-statistics can be used for tests on efficient weights, and when returns are multivariate normal, these statistics have exact "t" and "F" distributions in a finite sample. Using 20 years of data on 11 country stock indexes, we find that the sampling error in estimates of the weights of a global efficient portfolio is large. Copyright The American Finance Association 1999.
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Volume (Year): 54 (1999)
Issue (Month): 2 (04)
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