BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda. - Département de Sciences Économiques, Université de … - 2002
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. These tests are developed in the frame-work of...