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We introduce a new framework for the mean-variance spanning (MVS) hypothesis testing. The procedure can be applied to any test-asset dimension and only requires stationary asset returns and the number of benchmark assets to be smaller than the number
Externí odkaz:
http://arxiv.org/abs/2403.17127
Autor:
Margaritella, Luca1 (AUTHOR), Sessinou, Rosnel2 (AUTHOR) sessinou@ese.eur.nl
Publikováno v:
Journal of Business & Economic Statistics. Dec2024, p1-26. 26p. 1 Illustration.
