Arbeitspapier
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of test assets grows large relative to the number of available time-series observations, since the estimate of the disturbance covariance matrix eventually becomes singular. The suggested residual bootstrap procedures based on combining the individual group p-values avoid this problem while controlling the overall significance level. Simulation and empirical results illustrate the usefulness of the joint mean-variance efficiency tests.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Working Paper ; No. 2014-51
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Statistical Simulation Methods: General
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Econometric and statistical methods
Asset pricing
Financial markets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gungor, Sermin
Luger, Richard
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2014
- DOI
-
doi:10.34989/swp-2014-51
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gungor, Sermin
- Luger, Richard
- Bank of Canada
Entstanden
- 2014
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