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...
Shranjeno v:
| Glavni avtor: | |
|---|---|
| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
MDPI AG
2023-05-01
|
| Serija: | Mathematics |
| Teme: | |
| Online dostop: | https://www.mdpi.com/2227-7390/11/9/2198 |
| Oznake: |
Brez oznak, prvi označite!
|