Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky (notice n° 167101)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01270cam a2200205 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250112034210.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Brière, Marie |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2013.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 62 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance efficiency tests for large samples since it produces smaller size distortions for comparable power. Our empirical application to the U.S. equity market highlights that the market portfolio is not mean-variance efficient, and so invalidates the zero-beta CAPM. |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Drut, Bastien |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Mignon, Valérie |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Oosterlinck, Kim |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Szafarz, Ariane |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Finance | 34 | 1 | 2013-06-11 | p. 7-41 | 0752-6180 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-finance-2013-1-page-7?lang=en">https://shs.cairn.info/journal-finance-2013-1-page-7?lang=en</a> |
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