Using Generalized Method of Moments to Test Mean-Variance Efficiency
- 1 June 1991
- journal article
- research article
- Published by JSTOR in The Journal of Finance
- Vol. 46 (2) , 511-527
- https://doi.org/10.2307/2328834
Abstract
This paper develops tests of unconditional mean‐variance efflciency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance effilciency of market indexes can be sensitive to the test considered.This publication has 1 reference indexed in Scilit:
- Intertemporal asset pricing: An Empirical InvestigationJournal of Econometrics, 1990