The Gibbons, Ross, and Shanken Test for Portfolio Efficiency: A Note Based on Its Trigonometric Properties

This study is intended as a note and provides an extension to a much-used and established test for portfolio efficiency, the Gibbons, Ross, and Shanken GRS-Wald test. Tests devised to measure portfolio efficiency are crucial to the theoretical issues related to CAPM (Capital Asset Pricing Model) tes...

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Váldodahkki:	Pankaj Agrrawal
Materiálatiipa:	Artigo
Giella:	Inglês
Almmustuhtton:	MDPI AG 2023-05-01
Ráidu:	Mathematics
Fáttát:	GRS-Wald test GRS statistic trigonometric test geometric portfolio efficiency CAPM minimum-variance simulation
Liŋkkat:	https://www.mdpi.com/2227-7390/11/9/2198
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