On the nature of mean-variance spanning-Reference-Cited by-同舟云学术

On the nature of mean-variance spanning

Published:2009-06 Issue:2 Volume:6 Page:106-113
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Cheung C. Sherman,Kwan Clarence C.Y.,Mountain Dean C.

Publisher

Elsevier BV

Subject

Finance

Reference9 articles.

1. Diversification, integration, and emerging market closed-end funds;Bekaert;Journal of Finance,1996

2. The Econometrics of Financial Markets;Campbell,1997

3. Testing for mean-variance spanning with short sales constraint and transaction costs: The case of emerging markets;De Roon;Journal of Finance,2001

4. DeSantis, G., 1994. Asset pricing and portfolio diversification: Evidence from emerging financial markets. Working paper, University of Southern California, Los Angeles, CA

5. Foundations for Financial Economics;Huang,1988

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1. Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances;Journal of Business & Economic Statistics;2016-03-17

2. Efficient Subset Selection in Large-Scale Portfolio with Singular Covariance Matrix;Lecture Notes in Electrical Engineering;2013-09-24

3. Funds of Hedge Funds, Efficient Portfolios, and Investor Clienteles;Reconsidering Funds of Hedge Funds;2013

4. Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests;Financial Markets and Portfolio Management;2012-01-11

5. The diversification effects of volatility-related assets;Journal of Banking & Finance;2011-05