Search Results - subject:"Mean–variance efficiency"

Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky.

OOSTERLINCK, Kim; Szafarz, Ariane; Briere, Marie; Drut, … - Centre Emile Bernheim, Solvay Brussels School of … - 2012

The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance … portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance … efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a …

Persistent link: https://www.econbiz.de/10009645495

Mean Reversion in Stock Prices: Implications for Long-Term Investors

Spierdijk, L.; Bikker, J.A. - School of Economics, Universiteit Utrecht - 2012

This paper discusses the implications of mean reversion in stock prices for longterm investors such as pension funds. We start with a general definition of a meanreverting price process and explain how mean reversion in stock prices is related to mean reversion in stock returns. Subsequently, we...

Persistent link: https://www.econbiz.de/10011213547

Risk, return and mean-variance efficiency of Islamic and non-Islamic stocks : evidence from a unique Malaysian data set

Akhtar, Shumi; Jahromi, Maria - In: Accounting and finance : journal of the Accounting … 57 (2017) 1, pp. 3-46

Persistent link: https://www.econbiz.de/10011713510

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

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2011

We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is …

Persistent link: https://www.econbiz.de/10008835415

Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy

Drut, Bastien; Mignon, Valérie; Brière, Marie; … - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2011

from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance efficiency …'s efficiency suggesting that it may be mean-variance efficient after all. This paper develops an alternative test of portfolio mean-variance … efficiency based on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio …

Persistent link: https://www.econbiz.de/10009145648

Is S&P100 index a mean-variance efficient portfolio?

Robbani, Mohammad G.; Jain, Ajeet - In: International journal of financial research 7 (2016) 5, pp. 1-6

Persistent link: https://www.econbiz.de/10011579722

Optimal mean-variance efficiency of a family with life insurance under inflation risk

Liang, Zongxia; Zhao, Xiaoyang - In: Insurance / Mathematics & economics 71 (2016), pp. 164-178

Persistent link: https://www.econbiz.de/10011630638

Finance and diversification

Manganelli, Simone; Popov, Alexander - European Central Bank - 2010

We study how financial market efficiency affects a measure of diversification of output across industrial sectors borrowed from the portfolio allocation literature. Using data on sector-level value added for a wide cross section of countries and for various levels of disaggregation, we construct...

Persistent link: https://www.econbiz.de/10008679924

Finance and diversification

Manganelli, Simone; Popov, Alexander - 2010

Persistent link: https://www.econbiz.de/10011605305

Mean-Variance efficient strategies in proportional reinsurance under group correlation in a Gaussian framework

Pressacco, Flavio; Serafini, Paolo; Ziani, Laura - HAL - 2010

The paper concerns optimal mean-variance proportional reinsurance under group correlation. In order to solve the corresponding constrained quadratic optimization problem, we make large recourse both to the smart friendly technique originally proposed by B. de Finetti in his pioneering paper and...

Persistent link: https://www.econbiz.de/10008794793