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

We evaluate the use of generalized empirical likelihood (GEL) estimators in portfolio efficiency tests for asset pricing models in the presence of conditional information. The use of conditional information is relevant to portfolio management as it allows for checking whether asset allocations are e...

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Detalles Bibliográficos
Autores principales: Vigo-Pereira, Caio, Laurini, Márcio
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9777388/
https://www.ncbi.nlm.nih.gov/pubmed/36554110
http://dx.doi.org/10.3390/e24121705

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9777388/
https://www.ncbi.nlm.nih.gov/pubmed/36554110
http://dx.doi.org/10.3390/e24121705

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