haku: @freeterm Mean-variance spanning / yhteensä: 1
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| Tekijä: | DeRoon, F. A. Nijman, T. E. |
| Otsikko: | Testing for mean-variance spanning: a survey |
| Lehti: | Journal of Empirical Finance
2001 : MAY, VOL. 8:2, p. 111-155 |
| Asiasana: | Portfolio selection Volatility Performance measurement |
| Vapaa asiasana: | Mean-variance spanning Volatility bounds |
| Kieli: | eng |
| Tiivistelmä: | The authors present a survey on the various approaches that can be used to test whether the mean-variance frontier of a set of assets spans or interests the frontier of a larger set of assets. The paper explores the duality between mean-variance frontiers and volatility bounds, analyzes regression-based test procedures for spanning and intersection, and shows how these regression-based test procedures for spanning and intersection, and shows how these regression based tests are related to tests for mean-variance efficiency, performance measurement, optimal portfolio choice and specification error bounds. |
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