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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2022
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| Materias: | |
| 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 |