A comparison of mean-variance efficiency tests

Amengual, Dante; Sentana, Enrique

[journal article]

dc.contributor.author	Amengual, Dante	de
dc.contributor.author	Sentana, Enrique	de
dc.date.accessioned	2011-07-01T02:54:00Z	de
dc.date.accessioned	2012-08-29T23:08:13Z
dc.date.available	2012-08-29T23:08:13Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/25627
dc.description.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.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	C12; C13; C14; C16; G11; G12; Adaptivity; Elliptical distributions; Financial returns; Portfolio choice; Semiparametric estimators
dc.title	A comparison of mean-variance efficiency tests	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Journal of Econometrics	de
dc.source.volume	154	de
dc.publisher.country	NLD
dc.source.issue	1	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Political Economy	en
dc.subject.classoz	Volkswirtschaftslehre	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-256272	de
dc.date.modified	2011-07-04T10:45:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	16-34
internal.identifier.classoz	10905
internal.identifier.classoz	1090300
internal.identifier.journal	195	de
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1016/j.jeconom.2009.06.006	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Volkswirtschaftslehre (allgemein)
Political Economy (general)
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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