کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5070000 | 1373228 | 2009 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the nature of mean-variance spanning
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Asset spanning tests are very useful tools for the determination of which asset classes belong to an investor's portfolio. There are numerous applications of such tools in the finance literature. What is not so obvious is the proper decision an investor should make if the extra asset classes are spanned by some existing assets. Should the investor make a conscious decision not to invest in them as they add no value? Should the investor invest in them anyway as they do no harm? This study provides an analytical solution to the puzzle and also offers an economic rationale.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 6, Issue 2, June 2009, Pages 106-113
Journal: Finance Research Letters - Volume 6, Issue 2, June 2009, Pages 106-113
نویسندگان
C. Sherman Cheung, Clarence C.Y. Kwan, Dean C. Mountain,