http://worldcat.org/entity/work/id/2582730556

Bootstrap tests of mean-variance efficiency with multiple portfolio groupings

The authors of this paper propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. The paper is organized as follows: in section 2 the authors establish the statistical framework and describe the existing tests for a single portfolio grouping. The problem of testing mean-variance efficiency with multiple portfolio groupings is then discussed, and the proposed bootstrap methods are described. In section 3 the authors illustrate the new tests by first comparing their relative performance in a simulation study and then by presenting the results of an empirical application.--Includes text from document.

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