Using 12 industry portfolios from Kenneth Frenchs data library, replicate the GRS testing for mean-variance efficiency of
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Using 12 industry portfolios from Kenneth French’s data library, replicate the GRS testing for mean-variance efficiency of the market portfolio, available in FF_Research_Data_Factors_CSV. Use monthly data for the time period January 2000 to September 2021. Verify that the test statistics in Eqs. (5.10) and (5.11) produce the same results.
Equation 5.10
Equation 5.11
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Related Book For 
Investment Valuation And Asset Pricing Models And Methods
ISBN: 9783031167836
1st Edition
Authors: James W. Kolari, Seppo Pynnönen
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