Amengual, Dante; Sentana, Enrique - In: Journal of Econometrics 154 (2010) 1, pp. 16-34
We analyse the asymptotic properties of mean-variance efficiency tests based on generalised methods of moments, and parametric and semiparametric likelihood procedures that assume elliptical innovations. We study the trade-off between efficiency and robustness, and prove that the parametric...