Conditional Mean-Variance Efficiency of the U.S. Stock Market
收藏NBER1989-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w2890
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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 unrestricted ways, given investor preferences. We also allow conditional variances to follow an ARCH process.
提供机构：
美国国家经济研究局
创建时间：
1989-03-01
