The Econometrics of Mean-Variance Efficiency Tests: A Survey

The Econometrics of Mean-Variance Efficiency Tests: A Survey
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均值方差效率检验的计量经济学：调查

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发表时间：
2009
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通讯作者：
Enrique Sentana
Enrique Sentana
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作者：
Enrique Sentana

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本文对均方差效率检验的计量经济学进行了综述。从Gibbons et al.（1989）的经典f检验及其广义矩量法开始，我分析了资产数量和投资组合构成对检验功率的影响。然后，我讨论了基于投资组合权重的渐近等价检验，并研究了使用假设椭圆创新或椭圆收益的参数和半参数似然过程的效率和鲁棒性之间的权衡。在回顾有限样本测试之后，我最后讨论了均值-方差-偏度效率和跨越测试，以及其他有趣的扩展。版权归作者所有。期刊汇编皇家经济学会2009
This paper provides a comprehensive survey of the econometrics of mean-variance efficiency tests. Starting with the classic F-test of Gibbons et al. (1989) and its generalized method of moments version, I analyse the effects of the number of assets and portfolio composition on test power. I then discuss asymptotically equivalent tests based on portfolio weights, and study the trade-offs between efficiency and robustness of using parametric and semi-parametric likelihood procedures that assume either elliptical innovations or elliptical returns. After reviewing finite sample tests, I conclude with a discussion of mean-variance-skewness efficiency and spanning tests, and other interesting extensions. Copyright The Author(s). Journal compilation Royal Economic Society 2009