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- W1567903594 abstract "A two-stage test procedure for the static mean-variance portfolio model is presented which focuses on increasingly restrictive versions of the general model. It also delivers clues to the probable cause of rejection. The procedure is applied to quarterly data for German private net wealth. The mean-variance restrictions are strongly rejected, because the data reject any positive semi-definite link between returns and asset holdings. This suggests that the failure of the model is not primarily caused by neglect of the time variation of conditional covanances." @default.
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- W1567903594 date "1995-03-01" @default.
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- W1567903594 title "Why Do We Reject the Mean-Variance Model?" @default.
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- W1567903594 doi "https://doi.org/10.2307/3440834" @default.
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