Spanning with Zero-Price Investment Assets
Regression-based testing techniques has long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This work derives regression-based spanning tests for the case in which the investment possibilities set contains, or is constituted by, zero-investment assets. An empirical example illustrates that ignoring the zero-cost qualification of these assets might lead to wrong spanning propositions.
|Date of creation:||31 Jan 2009|
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