Search Results - subject:"Mean‐variance efficiency"

Jong, Marielle de; Wu, Hongwen - In: Journal of risk finance : the convergence of financial … 15 (2014) 3, pp. 264-274

Persistent link: https://www.econbiz.de/10010391444

A Non-Parametric Test of the Conditional CAPM for the Mexican Economy

Castillo-Spíndola, Jorge H. del - In: Estudios Económicos 21 (2006) 2, pp. 275-297

Many models have been suggested to describe how investors manage risk and value risky cash flows. Among them, the most widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM). However many anomalies and evidence against this version have been presented. To assume that the CAPM...

Persistent link: https://www.econbiz.de/10005434714

Managing Dairy Profit Risk Using Weather Derivatives

Chen, Gang; Roberts, Matthew C.; Thraen, Cameron S. - In: Journal of Agricultural and Resource Economics 31 (2006) 03

Weather conditions are a primary source of dairy production risk. Hot and humid weather induces heat stress, which reduces lactation. Heat abatement, such as ventilation, directly affects the temperature and humidity. Abatement can increase expected profit, but cannot eliminate the lost revenue...

Persistent link: https://www.econbiz.de/10005805424

International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective

Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: Journal of Banking & Finance 37 (2013) 2, pp. 648-659

rule to achieve mean–variance efficiency or to minimize the loss in efficiency. …

Persistent link: https://www.econbiz.de/10010595285

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244

International portfolio selection with exchange rate risk : a behavioural portfolio theory perspective

Jiang, Chonghui; Ma, Yongkai; An, Yunbi - In: Journal of banking & finance 37 (2013) 2, pp. 648-659

Persistent link: https://www.econbiz.de/10009705608

A Test for Mean-Variance Efficiency of a given Portfolio under Restrictions

Post, G.T. - Erasmus Research Institute of Management (ERIM), ERIM … - 2005

This study proposes a test for mean-variance efficiency of a given portfolio under general linear investment … also available on the ERIM website: www.erim.eur.nl A Test for Mean-Variance Efficiency of a Given Portfolio under … ABSTRACT AND KEYWORDS Abstract This study proposes a test for mean-variance efficiency of a given portfolio under general …

Persistent link: https://www.econbiz.de/10005505031

Asset Allocation in the Euro-Zone : Industry or Country Based?

Eiling, E.; Gerard, B.; de Roon, F.A. - Tilburg University, Center for Economic Research - 2005

.In contrast, after the introduction of the Euro the country outperformance has disappeared, both in terms of mean-variance … efficiency and in terms of mimicking abilities.Industry factors and country factors are now equally important.Our findings …

Persistent link: https://www.econbiz.de/10011090511

A Test for Mean-Variance Efficiency of a given Portfolio under Restrictions

Post, Post, G.T. - Erasmus Research Institute of Management (ERIM), … - 2005

This study proposes a test for mean-variance efficiency of a given portfolio under general linear investment …

Persistent link: https://www.econbiz.de/10010731066

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in...

Persistent link: https://www.econbiz.de/10005100963