Showing 1 - 10 of 261
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10010295747
Persistent link: https://www.econbiz.de/10008667604
Persistent link: https://www.econbiz.de/10003566050
Persistent link: https://www.econbiz.de/10009267245
Persistent link: https://www.econbiz.de/10011284807
Persistent link: https://www.econbiz.de/10010204244
Persistent link: https://www.econbiz.de/10010473451
Persistent link: https://www.econbiz.de/10002652734
Persistent link: https://www.econbiz.de/10001860218
Persistent link: https://www.econbiz.de/10001947817