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An Application Of Gibbons-Ross-Shanken'S Test Of The Efficiency Of A Given Portfolio

Author

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  • Eneas A. Caldiño García

    (El Colegio de México A. C.)

Abstract

En este artículo se adaptan las pruebas estadísticas de Gibbons, Ross, y Shanken (1989) para probar la eficiencia de un portafolio en dos casos en los que sus pruebas no pueden usarse directamente: 1) Cuando el portafolio cuya eficiencia está siendo probada no está incluído en el conjunto de instrumentos financieros que generan la frontera de media-desviación estándard y, 2) Cuando se prueba la existencia de un portafolio eficiente (de un conjunto dado de L portafolios), cuando ninguno de estos L portafolios está incluído en el conjunto de instrumentos financieros que generan la frontera de media-desviación estándard. Nuestros estadísticos pueden usarse para probar la eficiencia de fondos de inversión.

Suggested Citation

  • Eneas A. Caldiño García, 2004. "An Application Of Gibbons-Ross-Shanken'S Test Of The Efficiency Of A Given Portfolio," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 3(1), pages 45-53, Marzo 200.
    • Handle: RePEc:imx:journl:v:3:y:2004:i:1:p:45-53
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    References listed on IDEAS

    as
    1. Shanken, Jay, 1986. "Testing Portfolio Efficiency When the Zero-Beta Rate Is Unknown: A Note," Journal of Finance, American Finance Association, vol. 41(1), pages 269-276, March.
    2. Chamberlain, Gary, 1983. "Funds, Factors, and Diversification in Arbitrage Pricing Models," Econometrica, Econometric Society, vol. 51(5), pages 1305-1323, September.
    3. Connor, Gregory & Korajczyk, Robert A., 1988. "Risk and return in an equilibrium APT : Application of a new test methodology," Journal of Financial Economics, Elsevier, vol. 21(2), pages 255-289, September.
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    More about this item

    Keywords

    Portfolio Choice; Information and Market Efficiency;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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