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| Author: | Gouriéroux, C. Jouneau, F. |
| Title: | Econometrics of efficient fitted portfolios |
| Journal: | Journal of Empirical Finance
1999 : JAN, VOL. 6:1, p. 87-118 |
| Index terms: | Assets Portfolio management Efficiency Models |
| Freeterms: | Performance Mean-variance behaviour Individual portfolio management |
| Language: | eng |
| Abstract: | In this paper, a mean variance analysis of the portfolio choice under constraints is proposed. An efficient portfolio under constraint is called fitted. It is shown that the fitted portfolios can consistently be estimated and used to assess the performances of the portfolio management. The explicit formula of the individual demand function for assets is also derived, and generalizes the demand function of the standard portfolio choice theory. The performance measures and associated statistics can be used to test the hypothesis of the portfolio efficiency under constraint. Furthermore, it is explained in the paper how to estimate subsets of constraints faced by an individual. Finally, it is shown that our framework is also adequate for the analysis of incomplete information. |
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