On the nature of mean-variance spanning

被引：4
|
作者：
Cheung, C. Sherman [1 ]
Kwan, Clarence C. Y. [1 ]
Mountain, Dean C. [1 ]
机构：
[1] McMaster Univ, DeGroote Sch Business, Hamilton, ON L8S 4M4, Canada
来源：
FINANCE RESEARCH LETTERS | 2009年 / 6卷 / 02期
关键词：
Asset spanning; Portfolio choice; TESTS;
D O I：
10.1016/j.frl.2008.12.003
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Asset spanning tests are very useful tools for the determination of which asset classes belong to an investor's portfolio. There are numerous applications of such tools in the finance literature. What is not so obvious is the proper decision an investor should make if the extra asset classes are spanned by some existing assets. Should the investor make a conscious decision not to invest in them as they add no value? Should the investor invest in them anyway as they do no harm? This study provides an analytical solution to the puzzle and also offers an economic rationale. (c) 2008 Elsevier Inc. All rights reserved.
引用
收藏
页码：106 / 113
页数：8
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