Versijp, P.J.P.M.

portfolio distribution utility efficiency pricing sample function error &>>& utility function power asset market pricing errors test statistic statistic return l b f stock result journal mean-variance grs test value section vector restriction pricing error simulation retum level investor market portfolio observation moment procedure dominance risk aversion sampling distribution matrix utility functions analysis problem beta stocks finance property approach variance ssd test beta portfolios return distribution weight gradient vector table skewnes gradient skewness preference momentum model programming crsp all-share index tsd test &>>& b sd tests assumption investment parameter criterion ssd-gmm sampling contrast tail risk significance level theorem significance aversion preference vliet effect versijp