Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets

By Frans A. de Roon, T. Nijman, B. Werker. 2001

299 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/299260edef23b581ab5acf6e0e81f7a6cee7a161

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. T. Nijman
2. Frans A Deroon
3. Jianqing Fan
4. Jingjin Zhang
5. K. Yu
6. Clifford Lam
7. Jushan Bai
8. Yuan Liao

In Finance

1. Jingjin Zhang
2. Jianqing Fan
3. K. Yu
4. T. Nijman
5. Frans A Deroon
6. Jiancheng Jiang
7. Clifford Lam
8. D. Xiu

Citations in the corpus

• Vast Portfolio Selection with Gross-exposure Constraints (2012, unknown): “De Roon, Nijman, and Werker (2001) considered testing-variance spanning with the no-short-sale constraint.”
• Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios (2008, background): “ringer-Verlag, Berlin. [10] Chopra, V.K. and Ziemba, W.T. (1993). The effect of errors in means, variance and covariances on optimal portfolio choice. Journal of Portfolio Management, winter, 6-11. 32 [11] De Roon, F. A., Nijman, T.E., and Werker, B.J.M. (2001). Testing for mean-variance spanning wit”
• Diversification Benefits of Emerging Markets Subject to Portfolio Constraints (2003, unknown): “Using the international CAPM, De Santis and Gerard (1997) estimate that the expected gain from international diversification to a U.S. investor is on average 2.11 percent annually. Errunza, Hogan and Hung (1999) further show that the international diversification benefits can be obtained from invest”
• The econometrics of mean-variance efficiency tests: a survey (2009, unknown): “…testing for mean-variance efficiency is of paramount importance in many practical situations, such as mutual fund performance evaluation (see De Roon and Nijman (2001) for a recent survey), gains from portfolio diversification (Errunza, Hogan and Hung (1999)), or tests of linear factor asset…”
• Testing for mean-variance spanning: a survey (2001, background): “E-mail: Nyman@kub.nl zGeert Bekaert, Ton Vorst, Bas Werker, and two anonymous referees have provided many helpful comments and suggestions.”