LP Tests for MV Efficiency
2001-11-30
Research Paper
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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
Classifications using
Journal of Economic Literature (JEL) Classification System
- G3 : Corporate Finance and Governance
- M : Business Administration and Business Economics; Marketing; Accounting
- C11 : Bayesian Analysis
- C60 : Mathematical Methods and Programming: General
Automatically Extracted Terms
- portfolio
- &p 500 index
- function
- utility
- efficiency
- utility function
- utility functions
- mv efficiency
- research
- definition
- solution
- management
- index
- return
- distribution
- statistic
- section
- hl definition
- 2 3 4
- analysis
