A comparison of mean-variance efficiency tests

DOI10.1016/J.JECONOM.2009.06.006zbMath1431.62075OpenAlexW2116667384MaRDI QIDQ2630146

Enrique Sentana, Dante Amengual

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.06.006

zbMATH Keywords

adaptivityelliptical distributionsportfolio choicefinancial returnssemiparametric estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Point estimation (62F10) Asymptotic properties of parametric tests (62F05)

Related Items (7)

A comparison of mean-variance efficiency tests ⋮ New testing approaches for mean-variance predictability ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function ⋮ Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach ⋮ Consistent non-Gaussian pseudo maximum likelihood estimators ⋮ Bahadur intercept with applications to one-sided testing ⋮ The econometrics of mean‐variance efficiency tests: a survey

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