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Bank of Canada RSS Feedsen2024-03-28T17:35:05+00:00Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
https://www.bankofcanada.ca/2014/11/working-paper-2014-51/
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.2014-11-19T11:56:03+00:00enBootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings2014-11-19Asset pricingEconometric and statistical methodsFinancial marketsWorking Paper 2014-51https://www.bankofcanada.ca/wp-content/uploads/2014/11/wp2014-51.pdfBootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio GroupingsSermin GungorRichard LugerNovember 2014CC1C12C14C15GG1G12