IDEAS home Printed from https://ideas.repec.org/a/eee/jfinec/v13y1984i4p575-592.html
   My bibliography  Save this article

The likelihood ratio test statistic of mean-variance efficiency without a riskless asset

Author

Listed:
  • Kandel, Shmuel

Abstract

No abstract is available for this item.

Suggested Citation

  • Kandel, Shmuel, 1984. "The likelihood ratio test statistic of mean-variance efficiency without a riskless asset," Journal of Financial Economics, Elsevier, vol. 13(4), pages 575-592, December.
  • Handle: RePEc:eee:jfinec:v:13:y:1984:i:4:p:575-592
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-405X(84)90017-5
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Adrian, Tobias & Crump, Richard K. & Moench, Emanuel, 2015. "Regression-based estimation of dynamic asset pricing models," Journal of Financial Economics, Elsevier, vol. 118(2), pages 211-244.
    2. Bob Korkie & Harry J. Turtle, 2002. "A Mean-Variance Analysis of Self-Financing Portfolios," Management Science, INFORMS, vol. 48(3), pages 427-443, March.
    3. Frazzini, Andrea & Pedersen, Lasse Heje, 2014. "Betting against beta," Journal of Financial Economics, Elsevier, vol. 111(1), pages 1-25.
    4. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    5. repec:dau:papers:123456789/9297 is not listed on IDEAS
    6. Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2013. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky," Finance, Presses universitaires de Grenoble, vol. 34(1), pages 7-41.
    7. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004. "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers 10447, National Bureau of Economic Research, Inc.
    8. Shanken, Jay & Zhou, Guofu, 2007. "Estimating and testing beta pricing models: Alternative methods and their performance in simulations," Journal of Financial Economics, Elsevier, vol. 84(1), pages 40-86, April.
    9. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2009. "Jackknife Estimator for Tracking Error Variance of Optimal Portfolios," Management Science, INFORMS, vol. 55(6), pages 990-1002, June.
    10. Choi, Yoon K., 1995. "The sensitivity in tests of the efficiency of a portfolio and portfolio performance measurement," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(2), pages 187-206.
    11. Wayne E. Ferson & Andrew F. Siegel, 2006. "Testing Portfolio Efficiency with Conditioning Information," NBER Working Papers 12098, National Bureau of Economic Research, Inc.
    12. Pin-Huang Chou, 2000. "Alternative Tests Of The Zero-Beta Capm," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 23(4), pages 469-493, December.
    13. Kim, Daehwan, 2012. "Is currency hedging necessary for emerging-market equity investment?," Economics Letters, Elsevier, vol. 116(1), pages 67-71.
    14. Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
    15. Chi-Cheng Hsia, 1986. "Comparative Efficiency Of Market Indices: An Empirical Study," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(2), pages 123-135, June.
    16. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jfinec:v:13:y:1984:i:4:p:575-592. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505576 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.