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Volumn 6, Issue 2, 2009, Pages 106-113

On the nature of mean-variance spanning

Author keywords

Asset spanning; Portfolio choice

Indexed keywords


EID: 67349176657     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2008.12.003     Document Type: Article
Times cited : (7)

References (9)
  • 1
    • 0039613660 scopus 로고    scopus 로고
    • Diversification, integration, and emerging market closed-end funds
    • Bekaert G., and Urias M. Diversification, integration, and emerging market closed-end funds. Journal of Finance 51 (1996) 835-869
    • (1996) Journal of Finance , vol.51 , pp. 835-869
    • Bekaert, G.1    Urias, M.2
  • 3
    • 0000600038 scopus 로고    scopus 로고
    • Testing for mean-variance spanning with short sales constraint and transaction costs: The case of emerging markets
    • De Roon F.A., Nijman T.E., and Werker B. Testing for mean-variance spanning with short sales constraint and transaction costs: The case of emerging markets. Journal of Finance 56 (2001) 721-742
    • (2001) Journal of Finance , vol.56 , pp. 721-742
    • De Roon, F.A.1    Nijman, T.E.2    Werker, B.3
  • 7
    • 0001422278 scopus 로고
    • A performance interpretation of multivariate tests of asset set intersection, spanning, and mean variance efficiency
    • Jobson J.D., and Korkie B. A performance interpretation of multivariate tests of asset set intersection, spanning, and mean variance efficiency. Journal of Financial and Quantitative Analysis 24 (1989) 185-204
    • (1989) Journal of Financial and Quantitative Analysis , vol.24 , pp. 185-204
    • Jobson, J.D.1    Korkie, B.2
  • 8
    • 0039473752 scopus 로고
    • Critique of the asset pricing theory's tests - Part I: On past and potential testability of the theory
    • Roll R. Critique of the asset pricing theory's tests - Part I: On past and potential testability of the theory. Journal of Financial Economics 4 (1977) 129-176
    • (1977) Journal of Financial Economics , vol.4 , pp. 129-176
    • Roll, R.1
  • 9
    • 0040350325 scopus 로고    scopus 로고
    • On the inverse of the covariance matrix in portfolio analysis
    • Stevens G.V.G. On the inverse of the covariance matrix in portfolio analysis. Journal of Finance 53 (1998) 1821-1827
    • (1998) Journal of Finance , vol.53 , pp. 1821-1827
    • Stevens, G.V.G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.