The Wharton School of The University of Pennsylvania, Philadelphia, Pennsylvania 19104–6367. We thank Michael Gibbons, Andrew Lo, Krishna Ramaswamy, Tom Smith, René Stulz, and a referee for helpful comments. Research support received from the Geewax-Terker Research Fund and the University of Pennsylvania Research Foundation is gratefully acknowledged. The first author also acknowledges support from the Batterymarch Fellowship and the National Science Foundation (SES-8821583).
Using Generalized Method of Moments to Test Mean-Variance Efficiency
Article first published online: 30 APR 2012
1991 The American Finance Association
The Journal of Finance
Volume 46, Issue 2, pages 511–527, June 1991
How to Cite
MACKINLAY, A. C. and RICHARDSON, M. P. (1991), Using Generalized Method of Moments to Test Mean-Variance Efficiency. The Journal of Finance, 46: 511–527. doi: 10.1111/j.1540-6261.1991.tb02672.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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