Huberman, Gur; Kandel, Shmuel - In: Journal of Finance 42 (1987) 4, pp. 873-88
The authors propose a likelihood- ratio test of the hypothesis that the minimum-variance frontier of a set of K assets coincides with the frontier of this set and another s et of N assets. They study the relation between this hypothesis, exac t arbitrage pricing, and mutual-fund separation. The...