LP Tests for MV Efficiency
We derive empirical tests for the mean-variance efficiency of a given portfolio. The tests can be computed using straightforward linear programming, and they give substantial flexibility in modeling the investment possibilities. Using this test, we can reject the hypothesis that the S&P 500 index is mean-variance efficient relative to the 25 Fama and French (1993) equity portfolios.
|Keywords||linear programming, mean-variance analysis, portfolio selection and evaluation, quadratic programming|
|Publisher||Erasmus Research Institute of Management (ERIM)|
Post, G.T.. (2001). LP Tests for MV Efficiency (No. ERS-2001-66-F&A). Erasmus Research Institute of Management (ERIM). Retrieved from http://hdl.handle.net/1765/130