A direct test for the mean variance efficiency of a portfolio
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- Green, R.C. & Hollifield, B., 1990.
"When Will Mean-Variance Efficient Portfolios Be Well Diversified?,"
GSIA Working Papers
1990-12, Carnegie Mellon University, Tepper School of Business.
- Green, Richard C & Hollifield, Burton, 1992. " When Will Mean-Variance Efficient Portfolios Be Well Diversified?," Journal of Finance, American Finance Association, vol. 47(5), pages 1785-1809, December.
- Whitney K. Newey & Kenneth D. West, 1986.
"A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix,"
NBER Technical Working Papers
0055, National Bureau of Economic Research, Inc.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-708, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Kandel, S. & McCulloch, R. & Stambaugh, R.F., 1991.
"Bayesian Inference and Portfolio Efficiency,"
Weiss Center Working Papers
8-91, Wharton School - Weiss Center for International Financial Research.
- Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. " Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
- Lars Peter Hansen & John Heaton & Erzo Luttmer, 1993.
"Econometric Evaluation of Asset Pricing Models,"
NBER Technical Working Papers
0145, National Bureau of Economic Research, Inc.
- Wang, Zhenyu, 1998. "Efficiency loss and constraints on portfolio holdings," Journal of Financial Economics, Elsevier, vol. 48(3), pages 359-375, June.
- Alexander, Gordon J, 1993. " Short Selling and Efficient Sets," Journal of Finance, American Finance Association, vol. 48(4), pages 1497-1506, September.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Sharpe, William F, 1991.
" Capital Asset Prices with and without Negative Holdings,"
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American Finance Association, vol. 46(2), pages 489-509, June.
- Sharpe, William F., 1990. "Capital Asset Prices With and Without Negative Holding," Nobel Prize in Economics documents 1990-3, Nobel Prize Committee.
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