The Sensitivity in Tests of the Efficiency of a Portfolio and Portfolio Performance Measurement

QUARTERLY REVIEW OF ECONOMICS AND FINANCE, Vol 35 No 2, Summer 1995

Posted: 25 Aug 1998

See all articles by Yoon K. Choi

Yoon K. Choi

University of Central Florida - College of Business Administration - Department of Finance

Abstract

A theoretical rationale and empirical evidence for the sensitivity of the test of the efficiency of a given portfolio (or the test of the CAPM if appropriately designed) are provided. Stock and bond data are employed as the 'left-hand-side' assets to show that a misspecification in the 'left-hand-side' (or LHS) assets may cause the sensitivity in testing the efficiency of a given portfolio and the measurement in portfolio performance. Also, the results support the use of an 'asset class factor model' in measuring portfolio performance.

JEL Classification: G11

Suggested Citation

Choi, Yoon K., The Sensitivity in Tests of the Efficiency of a Portfolio and Portfolio Performance Measurement. QUARTERLY REVIEW OF ECONOMICS AND FINANCE, Vol 35 No 2, Summer 1995, Available at SSRN: https://ssrn.com/abstract=6674

Yoon K. Choi (Contact Author)

University of Central Florida - College of Business Administration - Department of Finance ( email )

PO Box 161400
Orlando, FL 32816
United States
(407) 823-5023 (Phone)

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