POTENTIAL PERFORMANCE AND TESTS OF PORTFOLIO EFFICIENCY

被引:107
作者
JOBSON, JD [1 ]
KORKIE, B [1 ]
机构
[1] UNIV N CAROLINA,DEPT BIOSTAT,CHAPEL HILL,NC 27514
关键词
D O I
10.1016/0304-405X(82)90019-8
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:433 / 466
页数:34
相关论文
共 35 条
[1]  
ANDERSON TW, 1958, INTRO MULTIVARIATE A
[2]   Further aspects of the theory of multiple regression [J].
Bartlett, MS .
PROCEEDINGS OF THE CAMBRIDGE PHILOSOPHICAL SOCIETY, 1938, 34 :33-40
[3]   CAPITAL MARKET EQUILIBRIUM WITH RESTRICTED BORROWING [J].
BLACK, F .
JOURNAL OF BUSINESS, 1972, 45 (03) :444-455
[5]  
Gibbons M.R., 1980, THESIS U CHICAGO CHI
[6]   MULTIVARIATE TESTS OF FINANCIAL MODELS - A NEW APPROACH [J].
GIBBONS, MR .
JOURNAL OF FINANCIAL ECONOMICS, 1982, 10 (01) :3-27
[7]  
IBBOTSON RG, 1979, STOCKS BONDS BILLS I
[8]  
Jensen M. C., 1972, CAPITAL ASSET PRICIN
[9]   PROBLEMS IN SELECTION OF SECURITY PORTFOLIOS - PERFORMANCE OF MUTUAL FUNDS IN PERIOD 1945-1964 - .1. INTRODUCTION [J].
JENSEN, MC .
JOURNAL OF FINANCE, 1968, 23 (02) :389-416
[10]   A MULTIVARIATE LINEAR-REGRESSION TEST FOR THE ARBITRAGE PRICING THEORY [J].
JOBSON, JD .
JOURNAL OF FINANCE, 1982, 37 (04) :1037-1042