Drut, Bastien; Mignon, Valérie; Brière, Marie; … - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2011
Levy and Roll (Review of Financial Studies, 2010) have recently revived the debate related to the market portfolio's efficiency suggesting that it may be mean-variance efficient after all. This paper develops an alternative test of portfolio mean-variance efficiency based on the realistic...