Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio
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Cited by:
- Prono, Todd, 2015. "Market proxies as factors in linear asset pricing models: Still living with the roll critique," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 36-53.
- Todd Prono, 2009.
"Market proxies, correlation, and relative mean-variance efficiency: still living with the roll critique,"
Supervisory Research and Analysis Working Papers
QAU09-3, Federal Reserve Bank of Boston.
- Todd, Prono, 2009. "Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique," MPRA Paper 20031, University Library of Munich, Germany.
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More about this item
Keywords
bootstrap hypothesis test; mean-variance efficiency; elliptical distribution;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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