Title: Using Generalized Method of Moments to Test Mean‐Variance Efficiency
Abstract: ABSTRACT This paper develops tests of unconditional mean‐variance efflciency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance effilciency of market indexes can be sensitive to the test considered.
Publication Year: 1991
Publication Date: 1991-06-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 291
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