On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio: An Extension
扩展了Kandel的分析，探讨当市场指数中部分资产收益不可观测时，利用缺失资产的贝塔信息能否检验市场组合的均值方差效率，结果支持在资产子集上检验该效率的可能性。
ABSTRACT This paper extends Kandel's [3] analysis of the testability of the mean‐variance efficiency of a market index when the return on some component of the index is not perfectly observable. In addition to information about the mean and variance of the missing asset, considered by Kandel, we explore the usefulness of information about the beta of the missing asset on the observed sub‐portfolio in an economy with a riskless asset. The results are somewhat more supportive of the notion that mean‐variance efficiency is testable on a subset of the assets.