Economics, Econometrics and Finance
4 years ago

New test finds market portfolio efficiency without short-selling restrictions.

1 view
RePEc: Research Papers in Economics
A Test for Mean-Variance Efficiency of a given Portfolio under Restrictions
Thierry Post

Paper Summary

The article introduces a test to see if a portfolio is efficient in balancing risk and return, even with certain investment restrictions. They use a new way to measure efficiency and find that the market portfolio is efficient compared to certain stock portfolios if short-selling is not allowed.

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