The Econometrics of Mean-Variance Efficiency Tests: A Survey

37 Pages Posted: 1 Dec 2009

See all articles by Enrique Sentana

Enrique Sentana

Centro de Estudios Monetarios y Financieros (CEMFI); Financial Markets Group; Centre for Economic Policy Research (CEPR)

Date Written: 2009-06

Abstract

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.

Suggested Citation

Sentana, Enrique, The Econometrics of Mean-Variance Efficiency Tests: A Survey (2009-06). Econometrics Journal, Vol. 12, Issue 3, pp. C65-C101, November 2009. Available at SSRN: https://ssrn.com/abstract=1513594 or http://dx.doi.org/10.1111/j.1368-423X.2009.00295.x

Enrique Sentana (Contact Author)

Centro de Estudios Monetarios y Financieros (CEMFI) ( email )

Casado del Alisal 5
28014 Madrid
Spain
+34 91 429 0551 (Phone)
+34 91 429 1056 (Fax)

HOME PAGE: http://www.cemfi.es/~sentana/

Financial Markets Group

Houghton Street
London School of Economics & Political Science (LSE)
London WC2A 2AE
United Kingdom
+44 20 7955 7002 (Phone)
+44 20 7852 3580 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Register to save articles to
your library

Register

Paper statistics

Downloads
2
Abstract Views
324
PlumX Metrics