Purpose The purpose of this paper is to show that multivariate t -distribution assumption provides a better description of stock return data than multivariate normality assumption. Design/methodology/approach The EM algorithm is applied to solve the statistical estimation problem almost...

In this paper, we conduct a comprehensive study of tests for mean-variance spanning. Under the regression framework of Huberman and Kandel (1987), we provide geometric interpretations not only for the popular likelihood ratio test, but also for two new spanning tests based on the Wald and...

For the popular mean-variance portfolio choice problem in the case without a risk-free asset, we develop a new portfolio strategy to mitigate estimation risk. We show that in both calibrations and real datasets, optimally combining the sample global minimum variance portfolio with a sample...