On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio
Article Abstract:
The mean-variance efficiency of a market index is tested for situations when some components of the index are unobservable. The efficiency of a subset of assets gives no indication of the complete portfolio's efficiency. If variance or upper bound is known, mean-variance efficiency of the portfolio may be rejected.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1984
User Contributions:
Comment about this article or add new information about this topic:
Models of Stock Returns - A Comparison
Article Abstract:
The efficiency of a statistical model for stock returns is examined through its descriptive validity of a discrete mixture of the normal distributions process. A thirty- stock sample can be described by a mixture of three normal distributions with exceptional descriptive validity.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1984
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: The sampling error in estimates of mean-variance efficient portfolio weights. Option prices, implied price processes, and stochastic volatility
- Abstracts: Taxation of sales of principal residences after the Taxpayer Relief Act of 1997. Issues and problems with employer sale of employee residences
- Abstracts: Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates. Corporate Behavior in Adjusting to Capital Structure and Dividend Targets: An Econometric Study
- Abstracts: Estimation of the Variance Between Units of Given Size from Experimental Data. Large Sample Theory of the Langevin Distribution
- Abstracts: Some Locally Optimal Subset Selection Rules for Comparison with a Control