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A note on the geometry of Shanken's CSR T_2 test for mean/variance efficiency

Roll, Richard (1985) A note on the geometry of Shanken's CSR T_2 test for mean/variance efficiency. Journal of Financial Economics, 14 (3). pp. 349-357. ISSN 0304-405X. https://resolver.caltech.edu/CaltechAUTHORS:20190502-111547387

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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.


Item Type:Article
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https://doi.org/10.1016/0304-405X(85)90003-0DOIArticle
Alternate Title:A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency
Additional Information:© 1985 Published by Elsevier B.V. The comments and suggestions of Chi-Cheng Hsia, Bob Korkie, and Jay Shanken are gratefully acknowledged.
Issue or Number:3
Record Number:CaltechAUTHORS:20190502-111547387
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20190502-111547387
Official Citation:Richard Roll, A note on the geometry of Shanken's CSR T2 test for mean/variance efficiency, Journal of Financial Economics, Volume 14, Issue 3, 1985, Pages 349-357, ISSN 0304-405X, https://doi.org/10.1016/0304-405X(85)90003-0. (http://www.sciencedirect.com/science/article/pii/0304405X85900030)
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:95172
Collection:CaltechAUTHORS
Deposited By: Tony Diaz
Deposited On:02 May 2019 18:20
Last Modified:03 Oct 2019 21:11

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