search query: @author Lehmann, B. N. / total: 2
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| Author: | Lehmann, B. N. |
| Title: | Orthogonal frontiers and alternative mean-variance efficiency tests. |
| Journal: | Journal of Finance
1987 : JUL, VOL. 42:3, p. 601-619 |
| Index terms: | PORTFOLIO MANAGEMENT STATISTICAL METHODS |
| Language: | eng |
| Abstract: | Properties of minimum norm orthogonal portfolios -that is portfolios which minimize a quadratic objective function and have returns uncorrelated with those of a candidate portfolio that is not mean-variance efficient- are analyzed. A number of population orthogonal frontiers in mean-variance space are discussed and their relations to commonly employed statistical procedures are described. A relevant sampling theory is provided for a class of asymptotical orthogonal frontiers. |
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