Nonparametric tests of efficiency of portfolio investment (Q1119145): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Reexamination of the perfectness concept for equilibrium points in extensive games / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Constrained games as complementary eigenvalue problems / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Stochastic optimization and economic models / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Q4161011 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 15:01, 19 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Nonparametric tests of efficiency of portfolio investment |
scientific article |
Statements
Nonparametric tests of efficiency of portfolio investment (English)
0 references
1989
0 references
A set of nonparametric tests is proposed here for characterizing the portfolio efficiency frontier from the observed data on returns. These tests classify the data set into two subsets, one containing the efficient points and the other comprising points which are relatively inefficient. The interface with the parametric approach is also discussed to show that these two approaches may be suitably combined so as to provide more powerful tests of capital market efficiency under various conditions of disequilibrium due to incomplete information and other reasons.
0 references
mean variance
0 references
nonparametric tests
0 references
portfolio efficiency frontier
0 references
capital market efficiency
0 references
