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On correlations and inferences about mean-variance efficiency

Опубликовано на портале: 03-10-2003
Journal of Financial Economics. 1987.  Vol. 18. No. 1. P. 61-90. 
A framework is presented for investigating the mean-variance efficiency of an unobservable portfolio based on its correlation with a proxy portfolio. A sensitivity analysis derives the highest correlation between the proxy and a portfolio that reverses the inference of a test of SHarpe-Lintner tangency. For example, the maximum correlation between the value-weighted NYSE-AMEX portfolio and a portfolio inferred tangent ranges from 0.76 to 0.48. We also test whether the correlation between the proxy and the tangent portfolio exceeds a given level. This hypothesis is often rejected for the NYSE-AMEX proxy at a correlation of 0.7.

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журналу Journal of Financial Economics:
http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VBX-45R2HV6-6&_user=10&_handle=W-WA-A-A-AV-MsSAYWA-UUW-AUVYUZBABW-ACABYWUAB-AV-U&_fmt=summary&_coverDate=03%2F31%2F1987&_rdoc=5&_orig=browse&_srch=%23toc%235938%231987%23999819998%23312383!&_cdi=5938&view=c&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=f0703b8394a7469dec2e08f5c74fc0df
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