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Econometrics of efficient fitted portfolios

  • Gourieroux, C.
  • Jouneau, F.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-3VTRY4M-4/2/5515bfe9a8aa4fe43b47e132a6393950
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 6 (1999)
Issue (Month): 1 (January)
Pages: 87-118

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Handle: RePEc:eee:empfin:v:6:y:1999:i:1:p:87-118
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. Jobson, J. D. & Korkie, Bob, 1982. "Potential performance and tests of portfolio efficiency," Journal of Financial Economics, Elsevier, vol. 10(4), pages 433-466, December.
  2. 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.
  3. Samuelson, Paul A, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances, and Higher Moments," Review of Economic Studies, Wiley Blackwell, vol. 37(4), pages 537-42, October.
  4. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
  5. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
  6. Pulley, Lawrence B., 1981. "A General Mean-Variance Approximation to Expected Utility for Short Holding Periods," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(03), pages 361-373, September.
  7. Hens,Thorsten, 1991. "Structure of general equilibrium models with incomplete markets and a single consumption good," Discussion Paper Serie A 353, University of Bonn, Germany.
  8. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  9. Gourieroux, C. & Monfort, A., 1989. "A General Framework for Testing a Null Hypothesis in a “Mixed” Form," Econometric Theory, Cambridge University Press, vol. 5(01), pages 63-82, April.
  10. Jobson, J D & Korkie, Bob M, 1981. "Performance Hypothesis Testing with the Sharpe and Treynor Measures," Journal of Finance, American Finance Association, vol. 36(4), pages 889-908, September.
  11. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-17, June.
  12. Szroeter, Jerzy, 1983. "Generalized Wald Methods for Testing Nonlinear Implicit and Overidentifying Restrictions," Econometrica, Econometric Society, vol. 51(2), pages 335-53, March.
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