Journal of Financial Economics Vol. 14 No. 3 1985
A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency
Abstract
Shanken (1985) derives a test for the zero-beta capital asset pricing model (CAPM) which, as he points out, is equivalent to a test of the mean/variance efficiency of the market portfolio. This note illustrates the geometry of Shanken's test in the mean/variance space.
- DOI
- 10.1016/0304-405x(85)90003-0
- Volume
- 14
- Issue
- 3
- Pages
- 349-357
- Sources
- bibtex:phds-export.bib openalex crossref