Conditional Mean-Variance Efficiency of the U.S. Stock Market
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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.
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美国国家经济研究局创建时间：
1989-03-01
