Spanning with Zero-Price Investment Assets

Valentina Galvani and Andre Plourde

No 2009-5, Working Papers from University of Alberta, Department of Economics

Abstract: Regression-based testing techniques has long been used to quantify whether the efficient frontier of a set of assets spans the frontier of a larger collection of investments. This work derives regression-based spanning tests for the case in which the investment possibilities set contains, or is constituted by, zero-investment assets. An empirical example illustrates that ignoring the zero-cost qualification of these assets might lead to wrong spanning propositions.

Keywords: mean-variance spanning; diversification benefits; portfolio choice; futures markets (search for similar items in EconPapers)
JEL-codes: G10 G11 G32 M21 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2009-01-31
New Economics Papers: this item is included in nep-cfn
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:albaec:2009_005

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