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
  • [21] The econometrics of mean-variance efficiency tests: a survey
    Sentana, Enrique
    ECONOMETRICS JOURNAL, 2009, 12 (03): : C65 - C101
  • [22] VARIANCE BOUND TESTS OF BOND MARKET-EFFICIENCY
    HUANG, CH
    EDERINGTON, LH
    JOURNAL OF FINANCIAL RESEARCH, 1993, 16 (02) : 89 - 106
  • [23] The efficiency of carbon trading market in China: evidence from variance ratio tests
    Zhou, Jianguo
    Huo, Xuejing
    Jin, Baoling
    Yu, Xuechao
    ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH, 2019, 26 (14) : 14362 - 14372
  • [24] The efficiency of carbon trading market in China: evidence from variance ratio tests
    Jianguo Zhou
    Xuejing Huo
    Baoling Jin
    Xuechao Yu
    Environmental Science and Pollution Research, 2019, 26 : 14362 - 14372
  • [25] Mean-variance portfolio selection in a complete market with unbounded random coefficients
    Shen, Yang
    AUTOMATICA, 2015, 55 : 165 - 175
  • [26] Mean-Variance Distance Based Stock Market Networks in Portfolio Optimization
    Vyrost, Tomas
    Lyocsa, Stefan
    MATHEMATICAL METHODS IN ECONOMICS (MME 2014), 2014, : 1090 - 1095
  • [27] UK stock returns and robust tests of mean variance efficiency
    Clare, AD
    Smith, PN
    Thomas, SH
    JOURNAL OF BANKING & FINANCE, 1997, 21 (05) : 641 - 660
  • [28] TESTS OF MEAN-VARIANCE EFFICIENCY OF INTERNATIONAL EQUITY MARKETS
    ENGEL, CM
    RODRIGUES, AP
    OXFORD ECONOMIC PAPERS-NEW SERIES, 1993, 45 (03): : 403 - 421
  • [29] ORTHOGONAL FRONTIERS AND ALTERNATIVE MEAN-VARIANCE EFFICIENCY TESTS
    LEHMANN, BN
    JOURNAL OF FINANCE, 1987, 42 (03): : 601 - 619
  • [30] ON THE EXCLUSION OF REAL-ESTATE FROM THE MARKET PORTFOLIO
    WEBB, JR
    JOURNAL OF PORTFOLIO MANAGEMENT, 1990, 17 (01): : 78 - 84
12345