Mean-Variance Spanning Tests With Short-Sales Constraints

We address implementation issues related to Wald tests associated with mean-variance spanning when short positions in portfolios are prohibited. In particular, we exploit the uniqueness of the stochastic discount factor in the presence of a risk-free rate to avoid potential numerical stability issues. We also show that tests that have appeared in the literature on retirement plans in the U.S. are inaccurate and that their proper implementation leads to significantly different results

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Year of publication:	[2022]
Authors:	AitSahlia, Farid ; Doellman, Thomas W. ; Sardarli, Sabuhi
Publisher:	[S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| CAPM \| Theorie \| Theory \| Kapitaleinkommen \| Capital income

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