A comparison of mean-variance efficiency tests

Journal article | Zeitschriftenartikel

We analyse the asymptotic properties of mean-variance efficiency tests based on generalised methods of moments, and parametric and semiparametric likelihood procedures that assume elliptical innovations. We study the trade-off between efficiency and robustness, and prove that the parametric estimators provide asymptotically valid inferences when the conditional distribution of the innovations is elliptical but possibly misspecificed and heteroskedastic. We compare the small sample performance of the alternative tests in a Monte Carlo study, and find some discrepancies with their asymptotic properties. Finally, we present an empirical application to US stock returns, which rejects the mean-variance efficiency of the market portfolio.

Object Details

• Extent: Seite(n): 16-34
• Language: Englisch
• Notes: Status: Postprint; begutachtet (peer reviewed)

References and Relationships

• Bibliographic citation: Journal of Econometrics, 154(1)

Classification and Topics

• Classification: Hypothesis Testing: General
• Subject: Wirtschaft ; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik ; Volkswirtschaftslehre

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Amengual, Dante ; Sentana, Enrique
• Event: Veröffentlichung
• (where): Niederlande
• (when): 2009

Further information

• DOI: https://doi.org/10.1016/j.jeconom.2009.06.006
• URN: urn:nbn:de:0168-ssoar-256272
• Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Last update: 21.06.2024, 4:26 PM CEST