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Chinese Journal of Management Science ›› 2012, Vol. ›› Issue (4): 52-59.

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Statistical Testing of Efficient Subset of Portfolio and Some Empirical Studies

JIANG Chun-fu, YANG Yu-kuan   

  1. College of Mathematics and Computational Science, Shenzhen University, Shenzhen 518060, China
  • Received:2011-07-23 Revised:2012-02-08 Online:2012-08-29 Published:2012-08-29

Abstract: In this paper, the issue of choosing an efficient subset from the whole stock set is considered in portfolio management. By analyzing the relation between efficient subset and mean-variance spanning, a testing method of portfolio efficient subset from statistical framework is provided. Some results that extend the conditions for mean-variance spanning given by Huberman and Kandel are also obtained. The empirical results show that our methods are more robust in contrast to the present searching method of subset by comparing rank of matrix.

Key words: portfolio, efficient subset, statistical testing

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