On the Exclusion of Assets from Tests of the Mean Variance Efficiency of the Market Portfolio
分析当市场指数中部分成分资产的收益不可完全观测时，该指数均值方差效率的可检验性。结果表明，仅对缺失资产的市场份额和期望收益设定边界不足以产生有效检验，但若缺失资产方差有界且缺失财富量小，则原则上可正确拒绝市场指数的均值方差效率。
ABSTRACT This paper presents an analysis of the testability of the mean variance efficiency of a market index when the returns on some components of the index itself are not perfectly observable. The results are basically not supportive of the notion that mean variance efficiency is testable on a subset of the assets. Bounding the market share of the missing asset and its expected return is not sufficient to produce a valid test. When the variance of the missing asset is bounded, and the amount of wealth that might be missing is small, it is possible, in principle, to reject correctly the mean variance efficiency of a market index.