Mean-Variance Spanning

Gur Huberman and Shmuel Kandel

Journal of Finance, 1987, vol. 42, issue 4, 873-88

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 s et of N assets. They study the relation between this hypothesis, exac t arbitrage pricing, and mutual-fund separation. The exact distributi on of the test statistic is presented. The authors test the hypothesi s that the frontier spanned by three size-sorted stock portfolios is the same as the frontier spanned by thirty-three size-sorted stock po rtfolios. Copyright 1987 by American Finance Association.

Date: 1987
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