On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio

Article Abstract:

The mean-variance efficiency of a market index is tested for situations when some components of the index are unobservable. The efficiency of a subset of assets gives no indication of the complete portfolio's efficiency. If variance or upper bound is known, mean-variance efficiency of the portfolio may be rejected.

Management, Investments

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Models of Stock Returns - A Comparison

Article Abstract:

The efficiency of a statistical model for stock returns is examined through its descriptive validity of a discrete mixture of the normal distributions process. A thirty- stock sample can be described by a mixture of three normal distributions with exceptional descriptive validity.

Models, Analysis, Economics, Statistics, Statistics (Data)

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