Testing for mean-variance spanning with short sales constraints and transaction costs

The case of emerging markets

Research output: Working paperDiscussion paperOther research output

283 Downloads (Pure)
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages47
Volume1998-07
Publication statusPublished - 1998

Publication series

NameCentER Discussion Paper
Volume1998-07

Keywords

  • portfolio investment
  • transaction costs
  • regression analysis
  • variance

Cite this

@techreport{60caeb48a8bf480aa37ec7ebf4f7c9cd,
title = "Testing for mean-variance spanning with short sales constraints and transaction costs: The case of emerging markets",
keywords = "portfolio investment, transaction costs, regression analysis, variance",
author = "{de Roon}, F.A. and T.E. Nijman and B.J.M. Werker",
note = "Pagination: 47",
year = "1998",
language = "English",
volume = "1998-07",
series = "CentER Discussion Paper",
publisher = "Econometrics",
type = "WorkingPaper",
institution = "Econometrics",

}

Testing for mean-variance spanning with short sales constraints and transaction costs : The case of emerging markets. / de Roon, F.A.; Nijman, T.E.; Werker, B.J.M.

Tilburg : Econometrics, 1998. (CentER Discussion Paper; Vol. 1998-07).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Testing for mean-variance spanning with short sales constraints and transaction costs

T2 - The case of emerging markets

AU - de Roon, F.A.

AU - Nijman, T.E.

AU - Werker, B.J.M.

N1 - Pagination: 47

PY - 1998

Y1 - 1998

KW - portfolio investment

KW - transaction costs

KW - regression analysis

KW - variance

M3 - Discussion paper

VL - 1998-07

T3 - CentER Discussion Paper

BT - Testing for mean-variance spanning with short sales constraints and transaction costs

PB - Econometrics

CY - Tilburg

ER -