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pro vyhledávání: '"test de ratio des variances"'
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. T
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::607b8620ee5024226e23c6a125fc4c43
http://www.cireqmontreal.com/wp-content/uploads/cahiers/17-2002-cah.pdf
http://www.cireqmontreal.com/wp-content/uploads/cahiers/17-2002-cah.pdf
