Nijman, Theo; Werker, Bas J.M.; de Roon, F.A. - Tilburg University, Center for Economic Research - 1996
This paper generalizes the notion of mean-variance spanning as de- ned in the seminal paper of Huberman & Kandel (1987) in three di- mensions.It is shown how regression techniques can be used to test for spanning for more general classes of utility functions, in case some as- sets are nontraded,...