A mean-variance analysis of self-financing portfolios

Management Science

Volumn 48, Issue 3, 2002, Pages 427-443

  Korkie, Bob ^a,c   Turtle, Harry J ^b  

^a UNIVERSITY OF ALBERTA   (Canada)

^b OPSEU Pension Trust   (Canada)

^c WASHINGTON STATE UNIVERSITY   (United States)

Author keywords

Intersection; Investment opportunity set; Long short portfolios; Spanning

Indexed keywords

BENCHMARKING; INVESTMENTS; MARKETING; STATISTICAL METHODS;

FAMA-FRENCH TESTS; INVESTMENT OPPORTUNITY SET; MARKET CAPITALIZATION; MEAN VARIANCE ANALYSIS;

MANAGEMENT SCIENCE;

EID: 0036492762     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.48.3.427.7725     Document Type: Article

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