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Using Generalized Method of Moments to Test Mean‐Variance Efficiency

Using Generalized Method of Moments to Test Mean‐Variance Efficiency ABSTRACT This paper develops tests of unconditional mean‐variance efficiency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance efficiency of market indexes can be sensitive to the test considered. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

Using Generalized Method of Moments to Test Mean‐Variance Efficiency

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References (32)

Publisher
Wiley
Copyright
1991 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1991.tb02672.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT This paper develops tests of unconditional mean‐variance efficiency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance efficiency of market indexes can be sensitive to the test considered.

Journal

The Journal of FinanceWiley

Published: Jun 1, 1991

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