Journal of Finance Vol. 42 No. 4 1987

Mean-Variance Spanning

Gur Huberman; Shmuel Kandel^1,2,3,4

¹ Federal Emergency Management Agency · ² Tel Aviv University · ³ University of Chicago · ⁴ Eau de Paris (France)

Abstract

The authors propose a likelihood-ratio test of the hypothesis that the minimum-variance frontier of a set of K assets coincides with the frontier of this set and another set of N assets. They study the relation between this hypothesis, exact arbitrage pricing, and mutual fund separation. The exact distribution of the test statistic is available. The authors test the hypothesis that the frontier spanned by three size-sorted stock portfolios is the same as the frontier spanned by thirty-three size-sorted stock portfolios.

DOI

10.2307/2328296

Volume

42

Issue

4

Pages

873

Sources

openalex crossref

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓