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A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency
Authors:Richard Roll
Affiliation:University of California at Los Angeles, Los Angeles, CA 90024, USA
Abstract:Shanken (1985) derives a test for the zero-beta capital asset pricing model (CAPM) which, as he points out, is equivalent to a test of the mean/variance efficiency of the market portfolio. This note illustrates the geometry of Shanken's test in the mean/variance space.
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