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Institutions and individuals at the turn-of-the-year

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Tests of conditional asset pricing with time-varying moments and risk prices

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Limiting investment opportunity sets, asset pricing, and the Roll critique

Korkie, Robert M.; Turtle, Harry J. - In: Journal of investment management : JOIM 22 (2024) 1, pp. 4-14

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Limiting Investment Opportunity Sets, Asset Pricing, and the Roll Critique

Korkie, Robert M.; Turtle, Harry J. - 2023

We conduct an experiment in which assets of lower volatility risk are sequentially added to the investment opportunity set (IOS) of a fixed investment horizon. Econometric spanning tests show that the limiting IOS is the linear boundaries defined by the limiting IOS asymptotes, implying more...

Persistent link: https://www.econbiz.de/10014265094