search query: @author Östermark, R. / total: 10
reference: 7 / 10
| Author: | Östermark, R. |
| Title: | A super criterion for testing portfolio efficiency. Empirical evidence on Finnish stock data. |
| Journal: | European Journal of Operational Research
1990 : JUN 15, VOL. 46:3, p. 304-312 |
| Index terms: | PORTFOLIO MANAGEMENT ECONOMIC EFFICIENCY STOCK MARKETS OPERATIONAL RESEARCH |
| Language: | eng |
| Abstract: | A Markovian super criterion is formulated for testing the portfolio efficiency of competing Capital Market Theories. Efficiency of the Arbitrate Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM) is tested on Finnish weekly price index data over the 1970-1983 time frame. The efficiency test results imply that the APT dominates the CAPM. A considerable deviation between the expected Pareto-frontier and the best expectational frontier according to the APT is observed. |
SCIMA