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This is a preview. Log in through your library . Abstract This paper provides a comprehensive survey of the econometrics of mean-variance efficiency tests. Starting with the classic F-test of Gibbons ...

The implications of concentrating on the lowest moment(s) of average compound return over N periods in making investment decisions have recently been examined. In particular, maximization of expected ...

Our news journalists obtained a quote from the research from Tsinghua University, "The instantaneous interest rate is modeled as the Cox-Ingersoll-Ross (CIR) model, and we use a generalized ...

A financial advisor's primary objective in allocating clients' assets is to design and construct investment policies that meet their future economic needs while satisfying their risk preferences. This ...

Engel, C., J. Frankel, Kenneth A. Froot, and T. Rodrigues. "Tests of Conditional Mean-Variance Efficiency of the U.S. Stock Market." Journal of Empirical Finance 2 (March 1995). (Revised from NBER ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

High-beta equities are not mean-variance efficient. The SML can in theory be arbitraged. Prima facie, retail investors can implement this strategy using ETFs. Commissions, financing, and margin may ...