Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125226221> ?p ?o ?g. }
Showing items 1 to 67 of
67
with 100 items per page.
- W3125226221 abstract "This paper provides a comprehensive survey of the econometrics of mean-variance efficiency tests. Starting with the classic F test of Gibbons, Ross and Shanken (1989) and its generalised method of moments version, I analyse the effects of the number of assets and portfolio composition on test power. I then discuss asymptotically equivalent tests based on mean representing portfolios and Hansen-Jagannathan frontiers, and study the trade-offs between efficiency and robustness of using parametric and semiparametric likelihood procedures that assume either elliptical innovations or elliptical returns. After reviewing finite sample tests, I conclude with a discussion of mean-variance-skewness efficiency and spanning tests." @default.
- W3125226221 created "2021-02-01" @default.
- W3125226221 creator A5091465417 @default.
- W3125226221 date "2008-05-01" @default.
- W3125226221 modified "2023-09-23" @default.
- W3125226221 title "THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY" @default.
- W3125226221 hasPublicationYear "2008" @default.
- W3125226221 type Work @default.
- W3125226221 sameAs 3125226221 @default.
- W3125226221 citedByCount "0" @default.
- W3125226221 crossrefType "posted-content" @default.
- W3125226221 hasAuthorship W3125226221A5091465417 @default.
- W3125226221 hasConcept C104317684 @default.
- W3125226221 hasConcept C105795698 @default.
- W3125226221 hasConcept C106159729 @default.
- W3125226221 hasConcept C117251300 @default.
- W3125226221 hasConcept C121955636 @default.
- W3125226221 hasConcept C122342681 @default.
- W3125226221 hasConcept C149782125 @default.
- W3125226221 hasConcept C162324750 @default.
- W3125226221 hasConcept C185592680 @default.
- W3125226221 hasConcept C196083921 @default.
- W3125226221 hasConcept C2780821815 @default.
- W3125226221 hasConcept C33923547 @default.
- W3125226221 hasConcept C55493867 @default.
- W3125226221 hasConcept C63479239 @default.
- W3125226221 hasConceptScore W3125226221C104317684 @default.
- W3125226221 hasConceptScore W3125226221C105795698 @default.
- W3125226221 hasConceptScore W3125226221C106159729 @default.
- W3125226221 hasConceptScore W3125226221C117251300 @default.
- W3125226221 hasConceptScore W3125226221C121955636 @default.
- W3125226221 hasConceptScore W3125226221C122342681 @default.
- W3125226221 hasConceptScore W3125226221C149782125 @default.
- W3125226221 hasConceptScore W3125226221C162324750 @default.
- W3125226221 hasConceptScore W3125226221C185592680 @default.
- W3125226221 hasConceptScore W3125226221C196083921 @default.
- W3125226221 hasConceptScore W3125226221C2780821815 @default.
- W3125226221 hasConceptScore W3125226221C33923547 @default.
- W3125226221 hasConceptScore W3125226221C55493867 @default.
- W3125226221 hasConceptScore W3125226221C63479239 @default.
- W3125226221 hasLocation W31252262211 @default.
- W3125226221 hasOpenAccess W3125226221 @default.
- W3125226221 hasPrimaryLocation W31252262211 @default.
- W3125226221 hasRelatedWork W1550175265 @default.
- W3125226221 hasRelatedWork W1587275203 @default.
- W3125226221 hasRelatedWork W1973917724 @default.
- W3125226221 hasRelatedWork W2005513750 @default.
- W3125226221 hasRelatedWork W2053757775 @default.
- W3125226221 hasRelatedWork W2062467485 @default.
- W3125226221 hasRelatedWork W2063023421 @default.
- W3125226221 hasRelatedWork W2064518236 @default.
- W3125226221 hasRelatedWork W2074194488 @default.
- W3125226221 hasRelatedWork W2082012322 @default.
- W3125226221 hasRelatedWork W2087402443 @default.
- W3125226221 hasRelatedWork W2141452679 @default.
- W3125226221 hasRelatedWork W2736199804 @default.
- W3125226221 hasRelatedWork W2920840625 @default.
- W3125226221 hasRelatedWork W3029882948 @default.
- W3125226221 hasRelatedWork W3084993046 @default.
- W3125226221 hasRelatedWork W3097303970 @default.
- W3125226221 hasRelatedWork W3125105298 @default.
- W3125226221 hasRelatedWork W3125360875 @default.
- W3125226221 hasRelatedWork W3142630565 @default.
- W3125226221 isParatext "false" @default.
- W3125226221 isRetracted "false" @default.
- W3125226221 magId "3125226221" @default.
- W3125226221 workType "article" @default.