Abstract
ABSTRACT The authors propose a likelihood‐ratio test of the hypothesis that the minimum‐variance frontier of a set of K assets coincides with the frontier of this set and another set of N assets. They study the relation between this hypothesis, exact arbitrage pricing, and mutual fund separation. The exact distribution of the test statistic is available. The authors test the hypothesis that the frontier spanned by three size‐sorted stock portfolios is the same as the frontier spanned by thirty‐three size‐sorted stock portfolios.
Keywords
FrontierEconometricsStatisticStock (firearms)Test statisticMathematicsStatisticsEconomicsStatistical hypothesis testingGeography
Affiliated Institutions
Related Publications
An Analytic Derivation of the Efficient Portfolio Frontier
The characteristics of the mean-variance, efficient portfolio frontier have been discussed at length in the literature. However, for more than three assets, the general approach...
A Test of the Efficiency of a Given Portfolio
A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and...
Responsible investing: The ESG-efficient frontier
We propose a theory in which each stock's environmental, social, and governance (ESG) score plays two roles: (1) providing information about firm fundamentals and (2) affecting ...
The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets
ABSTRACT This paper attempts to determine whether the fluctuations of conditional first and second moments—which are observed for many assets—are consistent with the Sharpe‐Lint...
Managerial Incentives and Corporate Investment and Financing Decisions
ABSTRACT This paper examines the relationship between common stock and option holdings of managers and the choice of investment and financing decisions by firms. The authors fin...
Publication Info
- Year
- 1987
- Type
- article
- Volume
- 42
- Issue
- 4
- Pages
- 873-888
- Citations
- 536
- Access
- Closed
External Links
Social Impact
Altmetric
PlumX Metrics
Social media, news, blog, policy document mentions
Citation Metrics
536
OpenAlex
Cite This
Gur Huberman,
Shmuel Kandel
(1987).
Mean‐Variance Spanning.
The Journal of Finance
, 42
(4)
, 873-888.
https://doi.org/10.1111/j.1540-6261.1987.tb03917.x
Identifiers
- DOI
- 10.1111/j.1540-6261.1987.tb03917.x