Using Generalized Method of Moments to Test Mean-Variance Efficiency

Abstract
This paper develops test of unconditional mean-variance efficiency 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.
Volume
46
Page
511-527
Year
1991
Categories
Financial and Statistical Methods
Asset and Econometric Modeling
Financial and Statistical Methods
Statistical Models and Methods
Publications
Journal of Finance
Authors
A Craig Mackinlay
Matthew P Richardson