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The Constrainted Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth A.; … - Institute of Business and Economic Research (IBER), … - 1990

Persistent link: https://www.econbiz.de/10010843373

The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market.

Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth A.; … - Department of Economics, University of California-Berkeley - 1990

Persistent link: https://www.econbiz.de/10005481397

Conditional mean-variance efficiency of the U.S. stock market

Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth A.; … - Federal Reserve Bank of New York - 1989

Persistent link: https://www.econbiz.de/10005387239

Tests of conditional mean-variance efficiency of the U.S. stock market

Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth A.; … - In: Journal of Empirical Finance 2 (1995) 1, pp. 3-18

Persistent link: https://www.econbiz.de/10005198987

Conditional mean-variance efficiency of the US stock market

Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth; … - 1989

Persistent link: https://www.econbiz.de/10000762682

The constrained asset share estimation (case) method : testing mean-variance efficiency of the US stock market

Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth; … - 1993

Persistent link: https://www.econbiz.de/10000862880

Why money announcements move interest rates : an answer from the foreign exchange market

Engel, Charles; Frankel, Jeffrey A. - 1982

Persistent link: https://www.econbiz.de/10002118654

Do asset-demand functions optimize over the mean and variance of real returns? : a six-currency test

Frankel, Jeffrey A.; Engel, Charles - 1982

Persistent link: https://www.econbiz.de/10002220789

Introduction to special issue on the global financial crisis

Forbes, Kristin; Frankel, Jeffrey A.; Engel, Charles - In: Journal of international economics 88 (2012) 2, pp. 215-218

Persistent link: https://www.econbiz.de/10009691882

The Constrained Asset Share Estimation (CASE) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles - 1993

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE...

Persistent link: https://www.econbiz.de/10012474666