Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach /

• Main Author: Beaulieu, Marie-Claude
• Format: Book
• Language: English
• Published: Frankfurt : Deutsche Bundesbank. Economic Research Centre, 2003
• Series: Discussion paper (Deutsche Bundesbank) Series 1: Studies of the Economic Research Centre no. 01/03
• Subjects: ACTIVO FIJO; BIENES DE CAPITAL; MODELOS ECONOMETRICOS; METODO DE MONTECARLO; MODELO DE SIMULACION
• Online Access: http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2003/2003_01_31_dkp_01.pdf?__blob=publicationFile

Table of Contents:

• 1. Introduction
• 2. Framework
• 3. Mean-variance efficiency tests with a known normalized distribution
• 4. Mean-variance efficiency tests with an incompletely specificed error distribution
• 5. Exact diagnostic checks
• 6. Empirical analysis
• 7. Conclusion
• A. Appendix: finite-sample distributional theory
• B: Monte Carlo tests.