The econometrics of mean-variance efficiency tests: A survey

Econometrics Journal

Volumn 12, Issue 3, 2009, Pages

  Sentana, Enrique ^a  

^a CEMFI   (Spain)

Author keywords

Elliptical distributions; Exogeneity; Financial returns; Generalized method of moments; Linear factor pricing; Maximum likelihood; Portfolio choice; Stochastic discount factor

Indexed keywords

EID: 77954538566     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2009.00295.x     Document Type: Article

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