A direct test for the mean variance efficiency of a portfolio.
From MaRDI portal
Publication:1605419
DOI10.1016/S0165-1889(01)00044-6zbMath1033.91035MaRDI QIDQ1605419
Ravi Jagannathan, Guoqiang Sun, Gopal Krishna Basak
Publication date: 15 July 2002
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00044-6
91G70: Statistical methods; risk measures
91B82: Statistical methods; economic indices and measures
91G10: Portfolio theory
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Cites Work
- Introduction to sensitivity and stability analysis in nonlinear programming
- Comparison of Alternative Utility Functions in Portfolio Selection Problems
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Common risk factors in the returns on stocks and bonds
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