Published September 1985
| public
Journal Article
A note on the geometry of Shanken's CSR T_2 test for mean/variance efficiency
- Creators
- Roll, Richard
Chicago
An error occurred while generating the citation.
Abstract
Shanken (1985) derives a test for the zero-beta capital asset pricing model (CAPM) which, as he points out, is equivalent to a test of the mean/variance efficiency of the market portfolio. This note illustrates the geometry of Shanken's test in the mean/variance space.
Additional Information
© 1985 Published by Elsevier B.V. The comments and suggestions of Chi-Cheng Hsia, Bob Korkie, and Jay Shanken are gratefully acknowledged.Additional details
- Alternative title
- A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency
- Eprint ID
- 95172
- DOI
- 10.1016/0304-405X(85)90003-0
- Resolver ID
- CaltechAUTHORS:20190502-111547387
- Created
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2019-05-02Created from EPrint's datestamp field
- Updated
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2021-11-16Created from EPrint's last_modified field