Mean Variance Spanning test
Posted: Sat Mar 04, 2017 12:34 am
Hi,
I am looking for a code for mean variance spanning test. This test was first proposed by Huberman & Kandel (1987) and recently Kan(2012) in his paper "Tests of Mean-Variance Spanning" has introduced spanning test based on GMM.
Mean Variance spanning is a multivariate regression based test based on minimum variance framework. It is used to test whether adding assets to a portfolio will provide additional benefit or not. It tests the joint hypothesis of alpha = 0 and beta = 1 in the regression to test if the efficient frontier based on the original portfolio spans with the frontier of the new portfolio. If it spans then there is no benefit of adding the assets to the portfolio.
Thanks
I am looking for a code for mean variance spanning test. This test was first proposed by Huberman & Kandel (1987) and recently Kan(2012) in his paper "Tests of Mean-Variance Spanning" has introduced spanning test based on GMM.
Mean Variance spanning is a multivariate regression based test based on minimum variance framework. It is used to test whether adding assets to a portfolio will provide additional benefit or not. It tests the joint hypothesis of alpha = 0 and beta = 1 in the regression to test if the efficient frontier based on the original portfolio spans with the frontier of the new portfolio. If it spans then there is no benefit of adding the assets to the portfolio.
Thanks