Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy

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Marie Brière; Bastien Drut; Valérie Mignon; Kim Oosterlinck; Ariane Szafarz;
(2011)
  • Subject: Efficient portfolio, mean-variance efficiency, efficiency test.
    • jel: jel:C12 | jel:G12 | jel:G11

Levy and Roll (Review of Financial Studies, 2010) have recently revived the debate related to the market portfolio's efficiency suggesting that it may be mean-variance efficient after all. This paper develops an alternative test of portfolio mean-variance efficiency bas... View more
  • References (1)

    Acharya, V.V., D.M. Gale and T. Yorulmazer. 2011. Rollover Risk and Market Freezes. Journal of Finance, forthcoming.

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