DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Byun, SukJoon | - |
dc.contributor.advisor | 변석준 | - |
dc.contributor.author | Yi, Jae-You | - |
dc.date.accessioned | 2018-06-20T06:14:08Z | - |
dc.date.available | 2018-06-20T06:14:08Z | - |
dc.date.issued | 2017 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=708731&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/242778 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 금융공학프로그램, 2017.2,[iii, 40 p. :] | - |
dc.description.abstract | While the numerous studies have shown that the mean/variance efficiency of various market proxies does not hold empirically, thus casting doubt about the capital asset pricing model (CAPM), the study of Levy and Roll (2010) adopts a reverse approach: given a market proxy, they apply minimal variations to sample parameters such that they are within statistical error bounds and at the same time make the proxy mean/variance efficient. This thesis follows the same approach and finds that the same phenomenon holds regardless of specific market condition - namely, the Korean stock market. All the tests were performed - univariate and multivariate tests and the comparison with Gibbons, Ross, and Shanken (1989) test, which all show a largely consistent picture with the original paper thus yielding the same implications that many conventional market proxies are useful for estimating expected returns. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | mean/variance efficiency▼acapital asset pricing model▼amarket proxy▼aoptimization▼aefficient frontier | - |
dc.subject | 평균/분산 효율성▼a자본자산결정모형▼a시장 대용 포트폴리오▼a최적화▼a효율적 투자기회선 | - |
dc.title | Empirical studies on the mean/variance efficiency of levy and roll (2010) in the korean stock market | - |
dc.title.alternative | Levy and Roll (2010)의 평균/분산 효율성에 대한 한국시장 실증연구 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :금융공학프로그램, | - |
dc.contributor.alternativeauthor | 이재유 | - |
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