haku: @indexterm PORTFOLIO INVESTMENT / yhteensä: 425
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| Tekijä: | Wang, K.Q. |
| Otsikko: | Nonparametric tests of conditional mean-variance efficiency of a benchmark portfolio |
| Lehti: | Journal of Empirical Finance
2002 : MAR, VOL. 9:2, p. 133-169 |
| Asiasana: | BENCHMARKING PORTFOLIO INVESTMENT |
| Vapaa asiasana: | MEAN-VARIANCE EFFICIENCY |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the authors propose three nonparametric methods for testing conditional mean-variance efficiency of a benchmark portfolio. These approaches avoid functional form misspecification and share a pleasant feature that the test statistics are based on estimators that converge at the fast parametric rate. |
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