The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market
收藏NBER1993-03-01 更新2025-01-04 收录
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https://www.nber.org/papers/w4294
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资源简介：
We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE model
提供机构：
美国国家经济研究局
创建时间：
1993-03-01
