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Econometrics of mean variance efficiency tests: a survey

Sentana, Enrique

Econometrics of mean variance efficiency tests: a survey 2009 - 2009 - C65-C101 V. 12 Issue. 3

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Elliptical distribution;Exogeneity;Financial returns;Generalized methods of moments;Linear factor pricing;Maximum likelihood;Portfolio choice;Stochastic discount factor;

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