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| Author: | Mackinlay, A.C. Richardson, M.P. |
| Title: | Using generalized method of moments to test mean-variance efficiency |
| Journal: | Journal of Finance
1991 : JUN, VOL. 46:2, p. 511-527 |
| Index terms: | MULTIVARIATE ANALYSIS PORTFOLIO MANAGEMENT FINANCIAL ANALYSIS |
| Language: | eng |
| Abstract: | Test of unconditional mean-variance efficiency under weak distributional assumptions are developed using a generalized method of moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed. Using returns for size-based portfolios from 1926 to 1988 it is shown that the conclusion concerning the mean-variance efficiency of market indexes can be sensitive to the test considered. |
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