Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach

DOI10.1016/J.JECONOM.2012.05.007zbMATH Open1443.62498OpenAlexW3123884163MaRDI QIDQ528047FDOQ528047

Authors: Francisco Peñaranda, Enrique Sentana

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612001194

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
A characterization of the distributions that imply mean-variance utility functions
A Test of the Efficiency of a Given Portfolio
A comparison of mean-variance efficiency tests
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Underidentification?

Cited In (5)

Finite underidentification
Portfolio performance of linear SDF models: an out-of-sample assessment
Optimal asymptotic least squares estimation in a singular set-up
Spanning tests for Markowitz stochastic dominance
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds

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