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A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency |
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| 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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