The econometrics of efficient portfolios

Journal of Empirical Finance

Volumn 12, Issue 1, 2005, Pages 1-41

  Gourieroux, C ^a   Monfort, Alain ^b  

^a UNIVERSITY OF TORONTO   (Canada)

^b CREST   (France)

Author keywords

Efficiency test; Efficient portfolio; Expected utility; Fund separation theorem; Risk monitoring; Value at Risk

Indexed keywords

EID: 12744272959     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2003.07.001     Document Type: Article

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