IDEAS home Printed from https://ideas.repec.org/r/bla/jfinan/v42y1987i4p873-88.html
   My bibliography  Save this item

Mean-Variance Spanning

Citations

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


Cited by:

  1. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
  2. Sermin Gungor & Richard Luger, 2016. "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.
  3. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
  4. Kroencke, Tim A. & Schindler, Felix, 2012. "International diversification with securitized real estate and the veiling glare from currency risk," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
  5. Balbás de la Corte, Alejandro & Laborda Herrero, Ricardo, 2017. "Interest Rate Future Quality Options and Negative Interest Rates," INDEM - Working Paper Business Economic Series 24859, Instituto para el Desarrollo Empresarial (INDEM).
  6. Raymond Kan & Guofu Zhou, 2012. "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 139-187, May.
  7. Hans Dewachter & Konstantijn Maes & Kristien Smedts, 2003. "Monetary unification and the price of risk: An unconditional analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 139(2), pages 276-305, June.
  8. Chen, Hsuan-Chi & Ho, Keng-Yu, 2009. "Do IPO index portfolios improve the investment opportunities for mean-variance investors?," Finance Research Letters, Elsevier, vol. 6(3), pages 159-170, September.
  9. Fama, Eugene F. & French, Kenneth R., 2007. "Disagreement, tastes, and asset prices," Journal of Financial Economics, Elsevier, vol. 83(3), pages 667-689, March.
  10. Galvani, Valentina & Plourde, André, 2010. "Portfolio diversification in energy markets," Energy Economics, Elsevier, vol. 32(2), pages 257-268, March.
  11. Marie Briere & Ariane Szafarz, 2015. "Does commercial microfinance belong to the financial sector? Lessons from the stock market," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 67, pages 110-125, March.
  12. Han, Yufeng & Zhou, Guofu & Zhu, Yingzi, 2016. "A trend factor: Any economic gains from using information over investment horizons?," Journal of Financial Economics, Elsevier, vol. 122(2), pages 352-375.
  13. Chabot, Benjamin & Kurz, Christopher J., 2009. "That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Working Papers 64, Yale University, Department of Economics.
  14. Michael Schröder, 2007. "Is there a Difference? The Performance Characteristics of SRI Equity Indices," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(1‐2), pages 331-348, January.
  15. C. J. Adcock, 2003. "An Empirical Study of Portfolio Selection for Optimally Hedged Portfolios," Multinational Finance Journal, Multinational Finance Journal, vol. 7(1-2), pages 85-106, March-Jun.
  16. Belousova, Julia & Dorfleitner, Gregor, 2012. "On the diversification benefits of commodities from the perspective of euro investors," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2455-2472.
  17. Ehling, Paul & Ramos, Sofia B., 2006. "Geographic versus industry diversification: Constraints matter," Journal of Empirical Finance, Elsevier, vol. 13(4-5), pages 396-416, October.
  18. Piljak, Vanja & Swinkels, Laurens, 2017. "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 232-255.
  19. de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012. "The cross-section of stock returns in frontier emerging markets," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 796-818.
  20. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
  21. Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
  22. Chou, Hsin-I & Zhao, Jing & Suardi, Sandy, 2014. "Factor reversal in the euro zone stock returns: Evidence from the crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 28-55.
  23. J. Sa‐Aadu & James Shilling & Ashish Tiwari, 2010. "On the Portfolio Properties of Real Estate in Good Times and Bad Times1," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(3), pages 529-565, September.
  24. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
  25. Yuming Li, 2017. "Risks and rewards for momentum and reversal portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 289-315, August.
  26. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 2003. "Currency hedging for international stock portfolios : The usefulness of mean variance analysis," Other publications TiSEM ef0968be-f501-4434-bc45-0, Tilburg University, School of Economics and Management.
  27. Jonathan Fletcher, 2018. "An Examination of the Benefits of Factor Investing in U.K. Stock Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 154-170, April.
  28. Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012. "The cost of sustainability in optimal portfolio decisions," The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 333-349, May.
  29. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
  30. Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014. "International Diversification Benefits with Foreign Exchange Investment Styles," Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
  31. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  32. Paul EHLING & Sofia B. RAMOS, 2003. "Geographical versus Industrial Diversification: A Mean Variance Spanning Approach," FAME Research Paper Series rp80, International Center for Financial Asset Management and Engineering.
  33. Lo, Andrew W & MacKinlay, A Craig, 1990. "Data-Snooping Biases in Tests of Financial Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 431-467.
  34. Zaremba, Adam & Umutlu, Mehmet & Karathanasopoulos, Andreas, 2019. "Alpha momentum and alpha reversal in country and industry equity indexes," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 144-161.
  35. Daskalaki, Charoula & Skiadopoulos, George & Topaloglou, Nikolas, 2017. "Diversification benefits of commodities: A stochastic dominance efficiency approach," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 250-269.
  36. Abbas Mirakhor, 2014. "Foundations of risk-sharing finance: an Islamic view," Chapters, in: Mervyn K. Lewis & Mohamed Ariff & Shamsher Mohamad (ed.), Risk and Regulation of Islamic Banking, chapter 6, pages 107-128, Edward Elgar Publishing.
  37. Oscar De la Torre Torres & Mª Isabel Martínez Torre Enciso, 2017. "Is socially responsible investment useful in Mexico? A multi-factor and ex-ante review," Contaduría y Administración, Accounting and Management, vol. 62(1), pages 222-238, Enero-Mar.
  38. Lin, Qi, 2017. "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, vol. 31(C), pages 141-163.
  39. Galvani, Valentina & Plourde, André, 2013. "Spanning with futures contracts," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 61-72.
  40. Lingfeng Li, 2003. "An Economic Measure of Diversification Benefits," Yale School of Management Working Papers ysm371, Yale School of Management, revised 01 Jul 2003.
  41. Steve Satchell, 1999. "The Small Noise Arbitrage Pricing Theory," Research Paper Series 4, Quantitative Finance Research Centre, University of Technology, Sydney.
  42. James J. Fogarty & Callum Jones, 2011. "Return To Wine: A Comparison Of The Hedonic, Repeat Sales And Hybrid Approaches," Australian Economic Papers, Wiley Blackwell, vol. 50(4), pages 147-156, December.
  43. Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 16(6), pages 365-373.
  44. Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
  45. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 1999. "Currency Hedging for International Stock Portfolios : A General Approach," Discussion Paper 1999-123, Tilburg University, Center for Economic Research.
  46. Hsuan-Chi Chen & Keng-Yu Ho & Yu-Jen Hsiao & Cheng-Huan Wu, 2010. "The Diversification Effects of Initial Public Offerings," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(1-2), pages 171-205.
  47. Fama, Eugene F. & French, Kenneth R., 2012. "Size, value, and momentum in international stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 457-472.
  48. Neal Maroney & Atsuyuki Naka, 2006. "Diversification Benefits of Japanese Real Estate Over the Last Four Decades," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 259-274, November.
  49. Balli, Faruk & Basher, Syed Abul & Jean Louis, Rosmy, 2013. "Sectoral equity returns and portfolio diversification opportunities across the GCC region," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 25(C), pages 33-48.
  50. MacKinlay, A Craig & Pastor, Lubos, 2000. "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Review of Financial Studies, Society for Financial Studies, vol. 13(4), pages 883-916.
  51. Hanke, Michael & Penev, Spiridon, 2018. "Comparing large-sample maximum Sharpe ratios and incremental variable testing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 571-579.
  52. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Exploring Diversification Benefits in Asia-Pacific Equity Markets," MPRA Paper 60180, University Library of Munich, Germany.
  53. Francois Boye, 2007. "Mexican ADRs in the 90s: as good as expected?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 22(1), pages 93-120, June.
  54. Galvani, Valentina & Behnamian, Aslan, 2009. "A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds," Working Papers 2009-7, University of Alberta, Department of Economics.
  55. SENGA, Christian, 2018. "Portfolio optimization at the frontier: Assessing the diversification benefits of African securities," Working Papers 2019001, University of Antwerp, Faculty of Business and Economics.
  56. Choi, Nicole & Fedenia, Mark & Skiba, Hilla & Sokolyk, Tatyana, 2017. "Portfolio concentration and performance of institutional investors worldwide," Journal of Financial Economics, Elsevier, vol. 123(1), pages 189-208.
  57. Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
  58. Brière, Marie & Szafarz, Ariane, 2015. "Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market," World Development, Elsevier, vol. 67(C), pages 110-125.
  59. Charles Cao & Jing-Zhi Huang, 2007. "Determinants of S&P 500 index option returns," Review of Derivatives Research, Springer, vol. 10(1), pages 1-38, January.
  60. Valentina Galvani & Stuart Landon, 2013. "Riding the yield curve: a spanning analysis," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 135-154, January.
  61. de Roon, F.A. & Nijman, T.E. & Werker, B.J.M., 2000. "Currency Hedging for International Stock Portfolios," ERIM Report Series Research in Management ERS-2000-21-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  62. O'Hagan-Luff, Martha & Berrill, Jenny, 2015. "Why stay-at-home investing makes sense," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 1-14.
  63. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
  64. 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.
  65. Eiling, Esther & Gerard, Bruno & Hillion, Pierre & de Roon, Frans A., 2012. "International portfolio diversification: Currency, industry and country effects revisited," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1249-1278.
  66. H. J. Turtle & Kainan Wang, 2014. "Modeling Conditional Covariances With Economic Information Instruments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 217-236, April.
  67. Switzer, Lorne N. & Tahaoglu, Cagdas, 2015. "The benefits of international diversification: market development, corporate governance, market cap, and structural change effects," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 76-97.
  68. Lord Mensah, 2016. "Asset Allocation Brewed Accross African Stock Markets," Proceedings of Economics and Finance Conferences 3205757, International Institute of Social and Economic Sciences.
  69. Oscar V. De la Torre Torres & María Isabel Martínez Torre-Enciso, 2015. "Revisión de la Inversión Sustentable en La Bolsa Mexicana Durante Periodos de Crisis," 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. 10(2), pages 115-130, Julio-Dic.
  70. Christiansen, Charlotte & Joensen, Juanna Schroter & Nielsen, Helena Skyt, 2007. "The risk-return trade-off in human capital investment," Labour Economics, Elsevier, vol. 14(6), pages 971-986, December.
  71. Kabir, M. Humayun & Hassan, M. Kabir & Maroney, Neal, 2011. "International diversification with American Depository Receipts (ADRs)," Pacific-Basin Finance Journal, Elsevier, vol. 19(1), pages 98-114, January.
  72. Schröder, Michael, 2003. "Socially Responsible Investments in Germany, Switzerland and the United States: An Analysis of Investment Funds and Indices," ZEW Discussion Papers 03-10, ZEW - Leibniz Centre for European Economic Research.
  73. Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
  74. Stefano Ciliberti & Emmanuel S'eri'e & Guillaume Simon & Yves Lemp'eri`ere & Jean-Philippe Bouchaud, 2017. "The "Size Premium" in Equity Markets: Where is the Risk?," Papers 1708.00644, arXiv.org, revised Aug 2017.
  75. Mevlüt CAMGÖZ & K. Ahmet KÖSE & Belkıs SEVAL, 2018. "Risk and Return Characteristics of Islamic Indices: An Empirical Approach," Istanbul Business Research, Istanbul University Business School, vol. 47(2), pages 124-153, November.
  76. Claessens, Stijn, 1993. "Equity portfolio investment in developing countries : a literature survey," Policy Research Working Paper Series 1089, The World Bank.
  77. Salotti, Simone & Trecroci, Carmine, 2014. "Multifactor risk loadings and abnormal returns under uncertainty and learning," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 393-404.
  78. Galvani, Valentina & Plourde, Andre, 2009. "Spanning with Zero-Price Investment Assets," Working Papers 2009-5, University of Alberta, Department of Economics.
  79. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
  80. Gregor Dorfleitner & Carina Lung, 2018. "Cryptocurrencies from the perspective of euro investors: a re-examination of diversification benefits and a new day-of-the-week effect," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 472-494, December.
  81. Dawood Ashraf, 2016. "Does Shari’ah Screening Cause Abnormal Returns? Empirical Evidence from Islamic Equity Indices," Journal of Business Ethics, Springer, vol. 134(2), pages 209-228, March.
  82. Chandra Shekhar Bhatnagar & Riad Ramlogan, 2012. "The capital asset pricing model versus the three factor model: A United Kingdom Perspective," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 2(1), pages 51-65, February.
  83. Balli, Faruk & Balli, Hatice Ozer & Luu, Mong Ngoc, 2014. "Diversification across ASEAN-wide sectoral and national equity returns," Economic Modelling, Elsevier, vol. 41(C), pages 398-407.
  84. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2015. "Frontier market transaction costs and diversification," Journal of Financial Markets, Elsevier, vol. 24(C), pages 1-24.
  85. Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 1996. "Testing for Spanning with Futrures Contracts and Nontraded Assets : A General Approach," Discussion Paper 1996-83, Tilburg University, Center for Economic Research.
  86. Cheung, C. Sherman & Kwan, Clarence C.Y. & Mountain, Dean C., 2009. "On the nature of mean-variance spanning," Finance Research Letters, Elsevier, vol. 6(2), pages 106-113, June.
  87. Antonios Antoniou & Olasupo Olusi & Krishna Paudyal, 2010. "Equity Home†Bias: A Suboptimal Choice for UK investors?," European Financial Management, European Financial Management Association, vol. 16(3), pages 449-479, June.
  88. Edward Lawrence & Gordon Karels & Arun Prakash & Siddharth Shankar, 2011. "Effect of regulation FD on disclosures of information by firms," Applied Financial Economics, Taylor & Francis Journals, vol. 21(13), pages 979-996.
  89. Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
  90. Naka, Atsuyuki & Noman, Abdullah, 2017. "Diversification of risk exposure through country mutual funds under alternative investment opportunities," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 215-227.
  91. Post, Thierry, 2005. "A Stochastic Dominance Approach to Spanning. With an Application to the January Effect/Una aproximación mediante la metodología del dominio estocástico al fenómeno del SPANNING. Una aplicación al efec," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 23, pages 7-25, Abril.
  92. Polbennikov, S.Y. & Melenberg, B., 2005. "Mean-Coherent Risk and Mean-Variance Approaches in Portfolio Selection : An Empirical Comparison," Discussion Paper 2005-100, Tilburg University, Center for Economic Research.
  93. repec:dau:papers:123456789/14039 is not listed on IDEAS
  94. Fernando Rubio, 2005. "Modelo De Tres Factores En España," Finance 0501001, University Library of Munich, Germany.
  95. Jing-zhi Huang & Zhaodong Zhong, 2013. "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 152-192, January.
  96. Andreas Charitou & Andreas Makris & George P. Nishiotis, 2006. "Closed-End Country Funds and International Diversification," Multinational Finance Journal, Multinational Finance Journal, vol. 10(3-4), pages 251-276, September.
  97. Chen, Hsuan-Chi & Chung, San-Lin & Ho, Keng-Yu, 2011. "The diversification effects of volatility-related assets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1179-1189, May.
  98. Fethke, Tobias & Prokopczuk, Marcel, 2018. "Is Commodity Index Investing Profitable?," Hannover Economic Papers (HEP) dp-635, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  99. Fama, Eugene F. & French, Kenneth R., 2017. "International tests of a five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 123(3), pages 441-463.
  100. Cheol S. Eun & Sandy Lai & Frans A. de Roon & Zhe Zhang, 2010. "International Diversification with Factor Funds," Management Science, INFORMS, vol. 56(9), pages 1500-1518, September.
  101. Adekunle, Salami Saheed & Masih, Mansur, 2017. "Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH," MPRA Paper 79443, University Library of Munich, Germany.
  102. Alvaro Aguirre & César Calderón, 2005. "Real Exchange Rate Misalignments and Economic Performance," Working Papers Central Bank of Chile 316, Central Bank of Chile.
  103. Oscar V. De la Torre Torres & María Isabel Martínez Torre-Enciso, 2015. "Revisión de la Inversión Sustentable en La Bolsa Mexicana Durante Periodos de Crisis," Remef - The Mexican Journal of Economics and Finance, Instituto Mexicano de Ejecutivos de Finanzas. Remef, September.
  104. Post, G.T., 2003. "Statistical Inference on Stochastic Dominance Efficiency. Do Omitted Risk Factors Explain the Size and Book-to-Market Effects?," ERIM Report Series Research in Management ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  105. Bessler, Wolfgang & Wolff, Dominik, 2015. "Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 1-20.
  106. Nijman, T.E. & de Roon, F.A. & Werker, B.J.M., 2001. "Testing for Mean-Variance spanning with short sales constraints and transaction costs : The case of emerging markets," Other publications TiSEM f4a3551a-d7ae-4c22-8813-b, Tilburg University, School of Economics and Management.
  107. Kaserer Christoph & Hanauer Matthias X., 2017. "25 Jahre Fama-French-Modell: Erklärungsgehalt, Anomalien und praktische Implikationen," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 18(2), pages 98-116, June.
  108. Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005. "Mimicking Portfolios with Conditioning Information," NBER Working Papers 11020, National Bureau of Economic Research, Inc.
  109. Raza, Muhammad Wajid & Ashraf, Dawood, 2019. "Does the application of smart beta strategies enhance portfolio performance? The case of Islamic equity investments," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 46-61.
  110. DeRoon, Frans A. & Nijman, Theo E., 2001. "Testing for mean-variance spanning: a survey," Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.
  111. Steven J. Davis & Jeremy Nalewaik & Paul Willen, 2000. "On the Gains to International Trade in Risky Financial Assets," NBER Working Papers 7796, National Bureau of Economic Research, Inc.
  112. Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2011. "Why do variance swaps exist?," Documentos de Trabajo del ICAE 2011-06, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  113. Fama, Eugene F. & French, Kenneth R., 2015. "A five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 116(1), pages 1-22.
  114. Adam Zaremba, 2015. "Portfolio Diversification with Commodities in Times of Financialization," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 4(1), pages 18-36, January.
  115. Frédéric Blanc-Brude & Timothy Whittaker & Simon Wilde, 2017. "Searching for a listed infrastructure asset class using mean–variance spanning," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(2), pages 137-179, May.
  116. Rodolfo Aquino, 2006. "A variance equality test of the ICAPM on Philippine stocks: post-Asian financial crisis period," Applied Economics, Taylor & Francis Journals, vol. 38(3), pages 353-362.
  117. Stelios Arvanitis & Mark Hallam & Thierry Post, 2015. "Stochastic Spanning," Koç University-TUSIAD Economic Research Forum Working Papers 1505, Koc University-TUSIAD Economic Research Forum.
    • Stelios Arvanitis & Mark Hallam & Thierry Post & Nikolas Topaloglou, 2015. "Stochastic Spanning," Working Papers 201510, Athens University Of Economics and Business, Department of Economics.
  118. Mihir Dash, 2018. "Modelling the Efficient Frontier: An Empirical Study in the Indian Stock Market," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 7(2), pages 83-94, May.
  119. Fogarty, James Joseph & Sadler, Rohan, 2012. "To Save or Savour: A Review of Wine Investment," Working Papers 139663, University of Western Australia, School of Agricultural and Resource Economics.
  120. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society.
  121. Schröder, Michael, 2000. "Investment opportunities in Central and Eastern European equity markets: an econometric examination of the risk-return relationships for western investors," ZEW Discussion Papers 00-42, ZEW - Leibniz Centre for European Economic Research.
  122. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-349, July.
  123. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper 2005-99, Tilburg University, Center for Economic Research.
  124. Post, G.T., 2001. "Spanning and Intersection: a stochastic dominance approach," ERIM Report Series Research in Management ERS-2001-63-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  125. Du, Jiangze & Wang, Jying-Nan & Hsu, Yuan-Teng & Lai, Kin Keung, 2018. "The importance of hedging currency risk: Evidence from CNY and CNH," Economic Modelling, Elsevier, vol. 75(C), pages 81-92.
  126. Stelios Arvanitis, 2015. "Saddle-Type Functionals for Continuous Processes with Applications to Tests for Stochastic Spanning," Working Papers 201509, Athens University Of Economics and Business, Department of Economics.
  127. Pieterse-Bloem, Mary & Mahieu, Ronald J., 2013. "Factor decomposition and diversification in European corporate bond markets," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 194-213.
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.