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
hdl.handle.net/1765/130
ERIM Report Series Research in Management
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