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Matches in SemOpenAlex for { <https://semopenalex.org/work/W1978504083> ?p ?o ?g. }

• W1978504083 abstract "In this paper we 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. We derive limiting distributions of the test statistics and compare the three methods in a simulation study. We also present an application of the methods to testing the conditional CAPM." @default.
• W1978504083 created "2016-06-24" @default.
• W1978504083 creator A5045391374 @default.
• W1978504083 date "2009-02-09" @default.
• W1978504083 modified "2023-09-26" @default.
• W1978504083 title "Nonparametric Tests of Conditional Mean-Variance Efficiency of a Benchmark Portfolio" @default.
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• W1978504083 hasPublicationYear "2009" @default.
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