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.
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|Erasmus Research Institute of Management|
|ERIM Report Series Research in Management|
|Organisation||Erasmus Research Institute of Management|
Post, G.T. (2001). LP Tests for MV Efficiency (No. ERS-2001-66-F&A). ERIM Report Series Research in Management. Erasmus Research Institute of Management. Retrieved from http://hdl.handle.net/1765/130