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The econometrics of mean-variance efficiency tests: a survey

  • Enrique Sentana

This paper provides a comprehensive survey of the econometrics of mean-variance efficiency tests. Starting with the classic F-test of Gibbons et al. (1989) and its generalized method of moments version, I analyse the effects of the number of assets and portfolio composition on test power. I then discuss asymptotically equivalent tests based on portfolio weights, and study the trade-offs between efficiency and robustness of using parametric and semi-parametric likelihood procedures that assume either elliptical innovations or elliptical returns. After reviewing finite sample tests, I conclude with a discussion of mean-variance-skewness efficiency and spanning tests, and other interesting extensions. Copyright The Author(s). Journal compilation Royal Economic Society 2009

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Article provided by Royal Economic Society in its journal Econometrics Journal.

Volume (Year): 12 (2009)
Issue (Month): 3 (November)
Pages: C65-C101

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Handle: RePEc:ect:emjrnl:v:12:y:2009:i:3:p:c65-c101
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