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Testing for mean-variance spanning : A survey
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Cited by:
- Glabadanidis, Paskalis, 2009. "Measuring the economic significance of mean-variance spanning," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 596-616, May.
- Chabot, Benjamin & Kurz, Christopher J., 2009.
"That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907,"
Working Papers
64, Yale University, Department of Economics.
- Benjamin Chabot & Christopher J. Kurz, 2009. "That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Working Papers 972, Economic Growth Center, Yale University.
- Bert Scholtens & Laura Spierdijk, 2010. "Does Money Grow on Trees? The Diversification Properties of U.S. Timberland Investments," Land Economics, University of Wisconsin Press, vol. 86(3).
- Pirgaip, Burak & Arslan-Ayaydin, Özgür & Karan, Mehmet Baha, 2021. "Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey," Global Finance Journal, Elsevier, vol. 50(C).
- Peñaranda, Francisco & Sentana, Enrique, 2016.
"Duality in mean-variance frontiers with conditioning information,"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers wp2007_0715, CEMFI.
- Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
- Janda, Karel & Rausser, Gordon & Svárovská, Barbora, 2014.
"Can investment in microfinance funds improve risk-return characteristics of a portfolio?,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt6651g29v, Department of Agricultural & Resource Economics, UC Berkeley.
- Janda, K & Rausser, G & Svárovská, B, 2014. "Can investment in microfinance funds improve risk-return characteristics of a portfolio?," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt61k33595, Department of Agricultural & Resource Economics, UC Berkeley.
- Piljak, Vanja & Swinkels, Laurens, 2017. "Frontier and emerging government bond markets," Emerging Markets Review, Elsevier, vol. 30(C), pages 232-255.
- Karl Demers‐Bélanger & Van Son Lai, 2020.
"Diversification benefits of cat bonds: An in‐depth examination,"
Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
- Karl Demers-Bélanger & Van Son Lai, 2019. "Diversification Benefits of Cat Bonds: An In-Depth Examination," Working Papers 2019-008, Department of Research, Ipag Business School.
- de Groot, Wilma & Pang, Juan & Swinkels, Laurens, 2012.
"The cross-section of stock returns in frontier emerging markets,"
Journal of Empirical Finance, Elsevier, vol. 19(5), pages 796-818.
- de Groot, W.A. & Pang, J. & Swinkels, L.A.P., 2012. "The Cross-Section of Stock Returns in Frontier Emerging Markets," ERIM Report Series Research in Management ERS-2012-012-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Pieterse-Bloem, M., 2011. "The effect of Emu on bond market integration and investor portfolio allocations," Other publications TiSEM 3c6ce80d-9260-424a-b889-b, Tilburg University, School of Economics and Management.
- Chou, Hsin-I & Zhao, Jing & Suardi, Sandy, 2014. "Factor reversal in the euro zone stock returns: Evidence from the crisis period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 28-55.
- Bastien Drut, 2010.
"Social responsibility and mean-variance portfolio selection,"
Working Papers CEB
10-002.RS, ULB -- Universite Libre de Bruxelles.
- Bastien Drut, 2010. "Social responsibility and mean-variance portfolio selection," EconomiX Working Papers 2010-3, University of Paris Nanterre, EconomiX.
- Bastien Drut, 2010. "Social responsibility and mean-variance portfolio selection," Working Papers hal-04140930, HAL.
- Balduzzi, Pierluigi & Robotti, Cesare, 2010.
"Asset pricing models and economic risk premia: A decomposition,"
Journal of Empirical Finance, Elsevier, vol. 17(1), pages 54-80, January.
- Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," FRB Atlanta Working Paper 2005-13, Federal Reserve Bank of Atlanta.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023.
"Commodity futures return predictability and intertemporal asset pricing,"
Journal of Commodity Markets, Elsevier, vol. 31(C).
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
- Bastien Drut, 2010.
"Sovereign Bonds and Socially Responsible Investment,"
Journal of Business Ethics, Springer, vol. 92(1), pages 131-145, April.
- Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," Working Papers hal-04140896, HAL.
- Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," EconomiX Working Papers 2009-17, University of Paris Nanterre, EconomiX.
- Bastien Drut, 2009. "Sovereign Bonds and Socially Responsible Investment," Working Papers CEB 09-014.RS, ULB -- Universite Libre de Bruxelles.
- Bastien Drut, 2010. "Sovereign bonds and socially responsible investment," ULB Institutional Repository 2013/192788, ULB -- Universite Libre de Bruxelles.
- Neal Maroney & Atsuyuki Naka, 2006. "Diversification Benefits of Japanese Real Estate Over the Last Four Decades," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 259-274, November.
- Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2013.
"Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky,"
Finance, Presses universitaires de Grenoble, vol. 34(1), pages 7-41.
- Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB 12-003, ULB -- Universite Libre de Bruxelles.
- Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2013. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky," Post-Print hal-01493323, HAL.
- Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 2004. "Evaluating style analysis," Other publications TiSEM 8a501733-7a06-4399-8a43-0, Tilburg University, School of Economics and Management.
- Valentina Galvani & Stuart Landon, 2013.
"Riding the yield curve: a spanning analysis,"
Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 135-154, January.
- Galvani, Valentina & Landon, Stuart, 2011. "Riding the Yield Curve: A Spanning Analysis," Working Papers 2011-19, University of Alberta, Department of Economics.
- Galvani, Valentina & Plourde, André, 2010.
"Portfolio diversification in energy markets,"
Energy Economics, Elsevier, vol. 32(2), pages 257-268, March.
- Galvani, Valentina & Plourde, Andre, 2009. "Portfolio Diversification in Energy Markets," Working Papers 2009-6, University of Alberta, Department of Economics.
- Sofiane Aboura & Julien Chevallier, 2014.
"The cross-market index for volatility surprise,"
Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 7-23, February.
- Sofiane Aboura & Julien Chevallier, 2014. "The cross-market index for volatility surprise," Post-Print hal-01531250, HAL.
- Galvani, Valentina, 2007. "Underlying assets for which options complete the market," Finance Research Letters, Elsevier, vol. 4(1), pages 59-66, March.
- Christiansen, Charlotte & Joensen, Juanna Schroter & Nielsen, Helena Skyt, 2007.
"The risk-return trade-off in human capital investment,"
Labour Economics, Elsevier, vol. 14(6), pages 971-986, December.
- Christiansen, Charlotte & Joensen, Juanna Schrøter & Nielsen, Helena Skyt, 2006. "The Risk-Return Trade-Off in Human Capital Investment," IZA Discussion Papers 1962, Institute of Labor Economics (IZA).
- Charlotte Christiansen & Juanna Schröter Joensen, 2006. "The Risk-Return Trade-Off in Human Capital Investment," Economics Working Papers 2006-02, Department of Economics and Business Economics, Aarhus University.
- Peñaranda, Francisco & Sentana, Enrique, 2012.
"Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Enrique Sentana & Francisco Penaranda, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers dp497, Financial Markets Group.
- Chabot, Benjamin & Kurz, Christopher, 2009. "That's Where the Money Was: Foreign Bias and English Investment Abroad, 1866-1907," Center Discussion Papers 50950, Yale University, Economic Growth Center.
- Daskalaki, Charoula & Skiadopoulos, George & Topaloglou, Nikolas, 2017.
"Diversification benefits of commodities: A stochastic dominance efficiency approach,"
Journal of Empirical Finance, Elsevier, vol. 44(C), pages 250-269.
- Charoula Daskalaki & George Skiadopoulos & Nikolas Topaloglou, 2016. "Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach," Working Papers 797, Queen Mary University of London, School of Economics and Finance.
- ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004.
"Evaluating style analysis,"
Journal of Empirical Finance, Elsevier, vol. 11(1), pages 29-53, January.
- de Roon, F.A. & Nijman, T.E. & Ter Horst, J.R., 2000. "Evaluating Style Analysis," Discussion Paper 2000-64, Tilburg University, Center for Economic Research.
- Nijman, Theo E & ter Horst, Jenke & de Roon, Frans, 2002. "Evaluating Style Analysis," CEPR Discussion Papers 3181, C.E.P.R. Discussion Papers.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
- Galvani, Valentina & Faychuk, Vita, 2022. "The Mean-Variance Core of Cryptocurrencies: When More is Not Better," Working Papers 2022-4, University of Alberta, Department of Economics.
- Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007.
"Socially Responsible Investments : Methodology, Risk Exposure and Performance,"
Other publications TiSEM
1ff75080-22db-4909-9f13-a, Tilburg University, School of Economics and Management.
- Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk Exposure and Performance," Discussion Paper 2007-013, Tilburg University, Tilburg Law and Economic Center.
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
- Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
- Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007.
"Socially Responsible Investments : Methodology, Risk and Performance,"
Other publications TiSEM
684d2aba-7b82-4306-b6a0-d, Tilburg University, School of Economics and Management.
- Renneboog, L.D.R. & Ter Horst, J.R. & Zhang, C., 2007. "Socially Responsible Investments : Methodology, Risk and Performance," Discussion Paper 2007-31, Tilburg University, Center for Economic Research.
- Kroencke, Tim A. & Muehler, Grit & Sprietsma, Maresa, 2013. "Return and risk of human capital contracts," ZEW Discussion Papers 13-108, ZEW - Leibniz Centre for European Economic Research.
- Fletcher, Jonathan, 2018. "An empirical examination of the diversification benefits of U.K. international equity closed-end funds," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 23-34.
- Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2001-24, Federal Reserve Bank of Atlanta.
- Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011.
"Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy,"
EconomiX Working Papers
2011-20, University of Paris Nanterre, EconomiX.
- Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011. "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," Working Papers hal-04140988, HAL.
- Adam Zaremba, 2015. "Portfolio Diversification with Commodities in Times of Financialization," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 4(1), pages 18-36, January.
- Ignacio Palacios-Huerta, 2003.
"An Empirical Analysis of the Risk Properties of Human Capital Returns,"
American Economic Review, American Economic Association, vol. 93(3), pages 948-964, June.
- Ignacio Palacios-Huerta, 2001. "An Empirical Analysis of the Risk Properties of Human Capital Returns," Working Papers 2001-10, Brown University, Department of Economics.
- Abhyankar, Abhay & Ho, Keng-Yu, 2007. "Long-horizon event studies and event firm portfolio weights: Evidence from U.K. rights issues re-visited," International Review of Financial Analysis, Elsevier, vol. 16(1), pages 61-80.
- Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
- Gagnon, Marie-Hélène & Manseau, Guillaume & Power, Gabriel J., 2020. "They're back! Post-financialization diversification benefits of commodities," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Stefano Herzel & Marco Nicolosi & Cătălin Stărică, 2012.
"The cost of sustainability in optimal portfolio decisions,"
The European Journal of Finance, Taylor & Francis Journals, vol. 18(3-4), pages 333-349, May.
- Stefano Herzel, Stefano & Marco Nicolosi, Marco & Starica, Catalin, 2010. "The cost of sustainability on optimal portfolio choices," Sustainable Investment and Corporate Governance Working Papers 2010/15, Sustainable Investment Research Platform.
- Stefano Herzel & Marco Nicolosi & Catalin Starica, 2011. "The cost of sustainability on optimal portfolio choices," Quaderni del Dipartimento di Economia, Finanza e Statistica 84/2011, Università di Perugia, Dipartimento Economia.
- Pieterse-Bloem, Mary & Mahieu, Ronald J., 2013. "Factor decomposition and diversification in European corporate bond markets," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 194-213.
- Sermin Gungor & Richard Luger, 2016.
"Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.
- Sermin Gungor & Richard Luger, 2013. "Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances," Staff Working Papers 13-16, Bank of Canada.
- Kroencke, Tim A. & Schindler, Felix, 2012.
"International diversification with securitized real estate and the veiling glare from currency risk,"
Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1851-1866.
- Schindler, Felix & Kröncke, Tim-Alexander, 2011. "International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48705, Verein für Socialpolitik / German Economic Association.
- Kroencke, Tim Alexander & Schindler, Felix, 2011. "International diversification with securitized real estate and the veiling glare from currency risk," ZEW Discussion Papers 11-012, ZEW - Leibniz Centre for European Economic Research.
- Raymond Kan & Guofu Zhou, 2012.
"Tests of Mean-Variance Spanning,"
Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 139-187, May.
- Raymond Kan & Guofu Zhou, 2001. "Tests of Mean-Variance Spanning," CEMA Working Papers 539, China Economics and Management Academy, Central University of Finance and Economics.
- Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2010. "Multivariate residual-based finite-sample tests for serial dependence and ARCH effects with applications to asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 263-285.
- Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
- Galvani, Valentina & Plourde, André, 2013. "Spanning with futures contracts," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 61-72.
- repec:dau:papers:123456789/9297 is not listed on IDEAS
- Enrique Sentana, 2009.
"The econometrics of mean-variance efficiency tests: a survey,"
Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
- Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
- Hanke, Michael & Penev, Spiridon, 2018. "Comparing large-sample maximum Sharpe ratios and incremental variable testing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 571-579.
- Galvani, Valentina & Behnamian, Aslan, 2009. "A Comparative Analysis of the Returns on Provincial and Federal Canadian Bonds," Working Papers 2009-7, University of Alberta, Department of Economics.
- Monika Chopra & Chhavi Mehta & Aman Srivastava, 2021. "Inflation-Linked Bonds as a Separate Asset Class: Evidence from Emerging and Developed Markets," Global Business Review, International Management Institute, vol. 22(1), pages 219-235, February.
- Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Other publications TiSEM 0cd9ce8d-542e-418e-be38-f, Tilburg University, School of Economics and Management.
- Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Staff Working Papers 05-2, Bank of Canada.
- Galema, Rients & Lensink, Robert & Spierdijk, Laura, 2011. "International diversification and Microfinance," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 507-515, April.
- O'Hagan-Luff, Martha & Berrill, Jenny, 2015. "Why stay-at-home investing makes sense," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 1-14.
- Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
- David Ardia & S'ebastien Laurent & Rosnel Sessinou, 2024. "High-Dimensional Mean-Variance Spanning Tests," Papers 2403.17127, arXiv.org.
- Daskalaki, Charoula & Skiadopoulos, George & Topaloglou, Nikolas, 2017.
"Diversification benefits of commodities: A stochastic dominance efficiency approach,"
Journal of Empirical Finance, Elsevier, vol. 44(C), pages 250-269.
- Charoula Daskalaki & George Skiadopoulos & Nikolas Topaloglou, 2016. "Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach," Working Papers 797, Queen Mary University of London, School of Economics and Finance.
- Charoula Daskalaki & George Skiadopoulos & Nikolas Topaloglou, 2016. "Diversification Benefits of Commodities: A Stochastic Dominance Efficiency Approach," Working Papers 797, Queen Mary University of London, School of Economics and Finance.
- Galvani, Valentina & Plourde, Andre, 2009. "Spanning with Zero-Price Investment Assets," Working Papers 2009-5, University of Alberta, Department of Economics.
- Jenny Berrill & Shengkai Sun, 2018. "An Investigation into the Benefits of Investing in Chinese Multinational Companies," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(2), pages 186-209, August.
- Jing-zhi Huang & Zhaodong Zhong, 2013. "Time Variation in Diversification Benefits of Commodity, REITs, and TIPS," The Journal of Real Estate Finance and Economics, Springer, vol. 46(1), pages 152-192, January.
- Cheol S. Eun & Sandy Lai & Frans A. de Roon & Zhe Zhang, 2010. "International Diversification with Factor Funds," Management Science, INFORMS, vol. 56(9), pages 1500-1518, September.
- Rakowski, David & Shirley, Sara, 2020. "What drives the market for exchange-traded notes?," Journal of Banking & Finance, Elsevier, vol. 111(C).
- Baltussen, Guido & Swinkels, Laurens & Van Vliet, Pim, 2021. "Global factor premiums," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1128-1154.
- Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper 2005-99, Tilburg University, Center for Economic Research.
- Galvani, Valentina, 2007. "A note on spanning with options," Mathematical Social Sciences, Elsevier, vol. 54(1), pages 106-114, July.