1 option
The Constrained Asset Share Estimation (CASE) Method: Testing Mean-Variance Efficiency of the U.S. Stock Market / Charles Engel, Jeffrey A. Frankel, Kenneth A. Froot, Anthony P. Rodrigues.
- Format:
- Book
- Author/Creator:
- Engel, Charles.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w4294.
- NBER working paper series no. w4294
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Constrained Asset Share Estimation
- The Constrained Asset Share Estimation
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1993.
- Summary:
- We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE model is valuable in explaining expected equity returns. Unlike with most tests of MVE. we can put an explicit interpretation on the alternative hypothesis -- a general linear Tobin portfolio choice model. We reject the restrictions implied by MVE.
- Notes:
- Print version record
- March 1993.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.