Export für Ihre Literaturverwaltung

Übernahme per Copy & Paste
Bibtex-Export
Endnote-Export

       

Weiterempfehlen

Bookmark and Share


A comparison of mean-variance efficiency tests

[Zeitschriftenartikel]

Amengual, Dante; Sentana, Enrique

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-256272

Weitere Angaben:
Abstract 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 estimators provide asymptotically valid inferences when the conditional distribution of the innovations is elliptical but possibly misspecificed and heteroskedastic. We compare the small sample performance of the alternative tests in a Monte Carlo study, and find some discrepancies with their asymptotic properties. Finally, we present an empirical application to US stock returns, which rejects the mean-variance efficiency of the market portfolio.
Klassifikation Volkswirtschaftslehre; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter C12; C13; C14; C16; G11; G12; Adaptivity; Elliptical distributions; Financial returns; Portfolio choice; Semiparametric estimators
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 16-34
Zeitschriftentitel Journal of Econometrics, 154 (2009) 1
DOI http://dx.doi.org/10.1016/j.jeconom.2009.06.006
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
top