A test for the weights of the global minimum variance portfolio in an elliptical model
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Volume (Year): 67 (2008)
Issue (Month): 2 (March)
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References listed on IDEAS
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- Markowitz, Harry M, 1991.
" Foundations of Portfolio Theory,"
Journal of Finance,
American Finance Association, vol. 46(2), pages 469-77, June.
- Gibbons, Michael R., 1982. "Multivariate tests of financial models : A new approach," Journal of Financial Economics, Elsevier, vol. 10(1), pages 3-27, March.
- Heathcote, C. R. & Rachev, S. T. & Cheng, B., 1995. "Testing Multivariate Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 54(1), pages 91-112, July.
- Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March.
- Manzotti, A. & Pérez, Francisco J. & Quiroz, Adolfo J., 2002. "A Statistic for Testing the Null Hypothesis of Elliptical Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 274-285, May.
- John H. Cochrane, 1999.
"Portfolio advice of a multifactor world,"
Federal Reserve Bank of Chicago, issue Q III, pages 59-78.
- John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," CRSP working papers 491, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc.
- Okhrin, Yarema & Schmid, Wolfgang, 2006. "Distributional properties of portfolio weights," Journal of Econometrics, Elsevier, vol. 134(1), pages 235-256, September.
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