ON THE EXCLUSION OF ASSETS FROM TESTS OF THE MEAN VARIANCE EFFICIENCY OF THE MARKET PORTFOLIO - AN EXTENSION

被引:7
|
作者
SHANKEN, J
机构
来源
JOURNAL OF FINANCE | 1986年 / 41卷 / 02期
关键词
D O I
10.2307/2328438
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:331 / 337
页数:7
相关论文
共 50 条
  • [1] ON THE EXCLUSION OF ASSETS FROM TESTS OF THE MEAN VARIANCE EFFICIENCY OF THE MARKET PORTFOLIO
    KANDEL, S
    JOURNAL OF FINANCE, 1984, 39 (01): : 63 - 75
  • [2] Mean-variance efficiency of the market portfolio and futures trading
    Lioui, A
    Poncet, P
    JOURNAL OF FUTURES MARKETS, 2001, 21 (04) : 329 - 346
  • [3] BOOTSTRAP TESTS OF MEAN-VARIANCE EFFICIENCY WITH MULTIPLE PORTFOLIO GROUPINGS
    Gungor, Sermin
    Luger, Richard
    ACTUALITE ECONOMIQUE, 2015, 91 (1-2): : 35 - 65
  • [4] Mean-variance portfolio selection of cointegrated assets
    Chiu, Mei Choi
    Wong, Hoi Ying
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2011, 35 (08): : 1369 - 1385
  • [5] A direct test for the mean variance efficiency of a portfolio
    Basak, G
    Jagannathan, R
    Sun, GQ
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2002, 26 (7-8): : 1195 - 1215
  • [6] Mean-variance-time: An extension of Markowitz's mean-variance portfolio theory
    Fahmy, Hany
    JOURNAL OF ECONOMICS AND BUSINESS, 2020, 109
  • [7] EXPERIMENTAL TESTS OF THE MEAN VARIANCE MODEL FOR PORTFOLIO SELECTION
    KROLL, Y
    LEVY, H
    RAPOPORT, A
    ORGANIZATIONAL BEHAVIOR AND HUMAN DECISION PROCESSES, 1988, 42 (03) : 388 - 410
  • [8] Mean-variance analysis and the Modified Market Portfolio
    Wenzelburger, Jan
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2020, 111
  • [9] An extension to the classical mean-variance portfolio optimization model
    Otken, Celen N.
    Organ, Z. Batuhan
    Yildirim, E. Ceren
    Camlica, Mustafa
    Canturk, Volkan S.
    Duman, Ekrem
    Teksan, Z. Melis
    Kayis, Enis
    ENGINEERING ECONOMIST, 2019, 64 (03): : 310 - 321
  • [10] A comparison of mean-variance efficiency tests
    Amengual, Dante
    Sentana, Enrique
    JOURNAL OF ECONOMETRICS, 2010, 154 (01) : 16 - 34