A Test of the Efficiency of a Given Portfolio
A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and...
Publications
3 shownAnother Look at the Cross‐section of Expected Stock Returns
ABSTRACT Our examination of the cross‐section of expected returns reveals economically and statistically significant compensation (about 6 to 9 percent per annum) for beta risk ...
Frequent Co-Authors
Researcher Info
- h-index
- 3
- Publications
- 3
- Citations
- 4,036
- Institution
- University of Rochester
External Links
Identifiers
- ORCID
- 0000-0001-5213-5394
Impact Metrics
h-index
3
h-index: Number of publications with at least h citations each.