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Conditional mean-variance efficiency of the US stock market
Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth; … - 1989
Persistent link: https://www.econbiz.de/10000762682
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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
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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
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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
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The Constrained Asset Share Estimation (Case) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles - 2010
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/10012763456
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Conditional Mean-Variance Efficiency of the U.S. Stock Market
Engel, Charles - 2008
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/10012774719
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Is aggregate consumer borrowing consistent with the permanent income hypothesis?
Park, Sangkyun; Rodrigues, Anthony P. - In: The Manchester School 68 (2000) 3, pp. 301-320
Persistent link: https://www.econbiz.de/10001477918
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US external imbalances : financial strains and macroeconomic choices
Hung, Juann-huey; Kasman, Bruce; Rodrigues, Anthony P. - 1990
Persistent link: https://www.econbiz.de/10000792821
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How workers use 401(k) plans : the participation, contribution, and withdrawal decisions
Bassett, William F. - In: National tax journal 51 (1998) 2, pp. 263-289
Persistent link: https://www.econbiz.de/10001246114
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Financial implications of the US external deficit
Hung, Juann-huey - In: Quarterly review / Federal Reserve Bank of New York 13 (1989) 4, pp. 33-51
Persistent link: https://www.econbiz.de/10001064274