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...

And hence, it is precisely such active traders that may be shown not to have relied on the integrity of the market price or on the allegedly false statement but nevertheless remained in the class through settlement (because of the presumption at the certification stage) that might collect the...

This paper describes a method for carrying out non-asymptotic inference on partially identifi ed parameters that are solutions to a class of optimization problems. The optimization problems arise in applications in which grouped data are used for estimation of a model's structural parameters....