BOSSAERTS, Peter; HILLION, Pierre - In: Annales d'Economie et de Statistique (1995) 40, pp. 93-124
We propose a new way of testing the mean-variance efficiency of well-diversified portfolios on large cross-sections of extremely short return histories. The methodology consists of a sequence of simple tests, the results of which are aggregated in a statistic. This statistic is shown to be...