Testing for mean-variance spanning: a survey

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Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, unknown): “SDF is derived from the first order conditions of a portfolio choice problem where the investor maximizes the expected utility of her terminal wealth (DeRoon and Nijman, 2001).”
Multivariate Tests of Mean–Variance Efficiency With Possibly Non-Gaussian Errors (2007, methodology): “The capital asset pricing model (CAPM) is one of the most commonly used models in theoretical and applied finance; (for reviews and references, see Campbell, Lo, and MacKinlay 1997; Shanken 1996; Cochrane 2001; DeRoon and Nijman 2001; Fama and French 2004).”
International Diversification with Large- and Small-Cap Stocks (2008, unknown): “We now incorporate information available from these factors to check the robustness of our results in both in- and out-of-sample periods. de Roon and Nijman (2001) and de Roon, Nijman, and Werker (2003) derive an algorithm that can be applied to check the robustness of our results with conditioning…”