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- W579969077 abstract "We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of test assets grows large relative to the number of available time-series observations, since the estimate of the disturbance covariance matrix eventually becomes singular. The suggested residual bootstrap procedures based on combining the individual group p -values avoid this problem while controlling the overall significance level. Simulation and empirical results illustrate the usefulness of the joint mean-variance efficiency tests." @default.
- W579969077 created "2016-06-24" @default.
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- W579969077 date "2016-05-20" @default.
- W579969077 modified "2023-10-03" @default.
- W579969077 title "Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings" @default.
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- W579969077 doi "https://doi.org/10.7202/1036913ar" @default.
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