THE SENSITIVITY IN TESTS OF THE EFFICIENCY OF A PORTFOLIO AND PORTFOLIO PERFORMANCE-MEASUREMENT

被引：4

作者：

CHOI, YK

机构：

[1] University of Texas, Dallas

来源：

QUARTERLY REVIEW OF ECONOMICS AND FINANCE | 1995年 / 35卷 / 02期

关键词：

D O I：

10.1016/1062-9769(95)90022-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A theoretical rationale and empirical evidence for the sensitivity of the test of the efficiency of a given portfolio (or the test of the CAPM if appropriately designed) are provided. Stock and bond data are employed as the 'left hand side' assets to show that a misspecification in the 'left-hand-side' (or LHS) assets may cause the sensitivity in testing the efficiency of a given portfolio and the measurement in portfolio performance. Also, the results support the use of an 'asset class factor model' in measuring portfolio performance.

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页码：187 / 206

页数：20

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