A comparison of mean-variance efficiency tests

被引：12

作者：

Amengual, Dante ^{[1
]}

Sentana, Enrique ^{[1
]}

机构：

[1] CEMFl, E-28014 Madrid, Spain

来源：

JOURNAL OF ECONOMETRICS | 2010年 / 154卷 / 01期

关键词：

Adaptivity; Elliptical distributions; Financial returns; Portfolio choice; Semiparametric estimators; MAXIMUM-LIKELIHOOD-ESTIMATION; PORTFOLIO EFFICIENCY; GENERALIZED-METHOD; DISTRIBUTIONS; MODELS; INFERENCE; SYMMETRY; MOMENTS;

D O I：

10.1016/j.jeconom.2009.06.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 misspecified 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. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：16 / 34

页数：19

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