Open AccessThe econometrics of mean‐variance efficiency tests: a survey
Author(s) -
Sentana Enrique
Publication year - 2009
Publication title -
the econometrics journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.861
H-Index - 36
eISSN - 1368-423X
pISSN - 1368-4221
DOI - 10.1111/j.1368-423x.2009.00295.x
Subject(s) - skewness , parametric statistics , econometrics , mathematics , robustness (evolution) , portfolio , statistics , variance (accounting) , efficiency , economics , financial economics , biochemistry , chemistry , accounting , gene , estimator
Summary 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.