Showing 1 - 10 of 20,203
Following Levy and Roll [2010], we posit that the market portfolio is the efficient tangent Markowitz portfolio, i.e., it is mean-variance efficient. We then reverse engineer the expected returns and variance terms with constraints imposed by empirical data on a hierarchy of asset baskets. This...
Persistent link: https://www.econbiz.de/10009009611
Persistent link: https://www.econbiz.de/10009379590
Persistent link: https://www.econbiz.de/10001200761
Persistent link: https://www.econbiz.de/10015195217
Persistent link: https://www.econbiz.de/10009534612
Persistent link: https://www.econbiz.de/10001734597
Persistent link: https://www.econbiz.de/10001653140
Persistent link: https://www.econbiz.de/10013532255
Persistent link: https://www.econbiz.de/10010239568