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Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach

Author(s) : Peñaranda, Francisco , Sentana, Enrique
Description : We propose new spanning tests that assess if the economically meaningful cost and mean representing portfolios are shared by the initial and additional assets. We show that our proposed tests are asymptotically equivalent to existing ones under local alternatives, and analyse their asymptotic relati...
Repository : e-Repositori UPF , View repository documents
Language(s) : Catalan
Subject(s) : Asset Pricing, Asymptotic Slopes, Dynamic Portfolio Strategies, GMM, Representing portfolios, Singular Covariance Matrix
Publisher(s) :
Contributor(s) : Universitat Pompeu Fabra. Departament d'Economia i Empresa
Source(s) :
Publication Date(s) : 2012-07-11