Mean‐Variance Spanning
提出一个似然比检验，判断一组K个资产的最小方差前沿是否与另一组N个资产的前沿重合，并研究了该假设与精确套利定价、共同基金分离的关系。
ABSTRACT The authors propose a likelihood‐ratio test of the hypothesis that the minimum‐variance frontier of a set of K assets coincides with the frontier of this set and another set of N assets. They study the relation between this hypothesis, exact arbitrage pricing, and mutual fund separation. The exact distribution of the test statistic is available. The authors test the hypothesis that the frontier spanned by three size‐sorted stock portfolios is the same as the frontier spanned by thirty‐three size‐sorted stock portfolios.