Testing for mean-variance spanning: a survey |
| |
| Institution: | 1. University of Ottawa Heart Institute, 40 Ruskin Street, Ottawa, ON K1Y 4W7, Canada;2. Elyakov Pacific Institute of Bioorganic Chemistry, Far Eastern Branch of Russian Academy of Sciences, Russia;3. National Scientific Centre of Marine Biology, Far Eastern Branch of Russian Academy of Sciences, Vladivostok 690041, Russia;1. School of Chemical Engineering and Analytical Science, University of Manchester, M13 9PL, UK;2. Faculty of Life Sciences, University of Manchester, M13 9PL, UK |
| |
| Abstract: | In this paper, we present a survey on the various approaches that can be used to test whether the mean-variance frontier of a set of assets spans or intersects the frontier of a larger set of assets. We analyze the restrictions on the return distribution that are needed to have mean-variance spanning or intersection. The paper explores the duality between mean-variance frontiers and volatility bounds, analyzes regression-based test procedures for spanning and intersection, and shows how these regression-based tests are related to tests for mean-variance efficiency, performance measurement, optimal portfolio choice and specification error bounds. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
