LP Tests for MV Efficiency

We derive empirical tests for the mean-variance efficiency of a given portfolio. The tests can be computed using straightforward linear programming, and they give substantial flexibility in modeling the investment possibilities. Using this test, we can reject the hypothesis that the S&P 500 index is mean-variance efficient relative to the 25 Fama and French (1993) equity portfolios.

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Year of publication:	2001-11-30
Authors:	Post, Post, G.T.
Institutions:	Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
Subject:	linear programming \| mean-variance analysis \| portfolio selection and evaluation \| quadratic programming

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Extent:	application/pdf
Series:	ERIM Report Series Research in Management. - ISSN 1566-5283.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureri Number ERS-2001-66-F&A
Classification:	C11 - Bayesian Analysis ; C60 - Mathematical Methods and Programming. General ; G3 - Corporate Finance and Governance ; M - Business Administration and Business Economics; Marketing; Accounting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010837679