BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2002
In this paper, we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context … and Shanken's mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests … the multivariate i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio are not rejected as …