Using Generalized Method of Moments to Test Mean‐Variance Efficiency
在弱分布假设下，利用广义矩方法开发了无条件均值-方差效率的检验，比传统正态分布假设下的检验更稳健。基于1926-1988年规模组合的回报数据，发现市场指数均值-方差效率的结论对检验方法敏感。
ABSTRACT This paper develops tests of unconditional mean‐variance efflciency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance effilciency of market indexes can be sensitive to the test considered.