实证资产定价 Big Problem Set - Suggested Solutions.pdfVIP

Problem Set 1 Doctoral Seminar in Empirical Finance Suggested Solutions Lars A. Lochstoer Fall, 2012 1 Multivariate GRS The GRS test statistic illustrates Rollís point: A one-factor pricing model implies that the (factor-mimicking) portfolio is mean-variance e¢ cient. Thus, a test of the model boils down to a test of the mean-variance e¢ ciency of this portfolio. But, if a one-factor model