Márcio Laurini

University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)

Av. Bandeirantes 3900 - Monte Alegre

Ribeião Preto, 14040-900

Brazil

  • University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)

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Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators

Number of pages: 35 Posted: 29 Sep 2020
Caio Vigo Pereira and Márcio Laurini
University of Kansas - Department of Economics and University of São Paulo (USP) - Faculty of Economics, Administration and Accounting of Ribeirão Preto (FEARP)
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Abstract:

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Portfolio Efficiency, Conditional Information, Efficiency Tests, GEL, GMM