Some exact results for efficient portfolios with given returns

Advances in Portfolio Construction and Implementation

Volumn , Issue , 2003, Pages 310-325

  Hillier, Grant ^a   Satchell, Stephen E ^b,c  

^a UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^b TRINITY COLLEGE   (United Kingdom)

^c CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 61849113020     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1016/B978-075065448-7.50015-X     Document Type: Chapter

References (10)

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3. Jobson J.D., Korkie B. Potential Performance and Tests of Portfolio Efficiency. Journal of Financial Economics 1982, 13:575-592.
4. Kendall M.G., Stuart A. The Advanced Theory of Statistics 1969, vol. II. Griffin, London.
5. Michaud R.O. Efficient Asset Management 1998, Harvard Business School Press, Boston.
6. Muirhead R.J. Aspects of Multivariate Statistical Theory 1982, Wiley, New York.
7. Roll R. A Critique of the Asset Pricing Theory's Tests. Journal of Financial Economics 1977, 4:129-176.
8. Roll R. Testing a Portfolio for Ex Ante Mean/Variance Efficiency. TIMS Studies in the Management Sciences 1979, 11:135-149. North Holland Publishing Company.
9. Satchell S. The Finite Sample Distributions of Portfolio Estimators 1986, unpublished.
10. Shanken J. Multivariate Tests of the Zero-Beta CAPM. Journal of the Financial Economics 1985, 14:331-348.