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On Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension

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  • Shanken, Jay

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  • Shanken, Jay, 1986. "On Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension," Journal of Finance, American Finance Association, vol. 41(2), pages 331-337, June.
    • Handle: RePEc:bla:jfinan:v:41:y:1986:i:2:p:331-37
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    Cited by:

    1. Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
    2. Salotti, Simone & Trecroci, Carmine, 2014. "Multifactor risk loadings and abnormal returns under uncertainty and learning," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 393-404.

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