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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

Conditional Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles - 1989

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 unrestricted ways, given investor preferences. We also allow conditional variances to follow an ARCH...

Persistent link: https://www.econbiz.de/10012476164

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.; … - 1993

Persistent link: https://www.econbiz.de/10007015782

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 Alexander; Froot, … - National Bureau of Economic Research (NBER) - 1989

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 unrestricted ways, given investor preferences. We also allow conditional variances to follow an ARCH...

Persistent link: https://www.econbiz.de/10005829658

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

Engel, Charles; Frankel, Jeffrey Alexander; Froot, … - National Bureau of Economic Research (NBER) - 1993

Persistent link: https://www.econbiz.de/10005575634

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