Chou, Pin-Huang; Lin, Mei-Chen - In: Applied Financial Economics 12 (2002) 12, pp. 873-883
This paper investigates the unconditional mean-variance efficiency of the Morgan Stanley Capital International (MSCI) world index in the context of the Sharpe- Lintner CAPM where there exists a universal riskless asset and the Black's zero-beta CAPM in the absence of a riskless asset. Using data...
