Impossible Frontiers (Management Science 2010)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Thomas J. Brennan, Andrew W. Lo Impossible Frontiers Management Science 2010 6 905-23 - Short selling, Long/short, Portfolio optimization, Mean-variance analysis, CAPM

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - - - - - -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Moshe Levy, Richard Roll (Im)Possible Frontiers: A Comment Critical Finance Review 2015 - 139–48 G11, G12 Mean-variance analysis, CAPM, Portfolio optimization, Short selling, Reverse optimization 3 - reproduction (new methods) 2 - different results - 1 - yes 1 - rejected results

References

DOI: 10.1287/mnsc.1100.1157 IDEAS: a/inm/ormnsc/v56y2010i6p905-923.html EconPapers: RePEc:inm:ormnsc:v:56:y:2010:i:6:p:905-923


Reply: Thomas J. Brennan and Andrew W. Lo (2015), "Reply to “(Im)Possible Frontiers: A Comment”", Critical Finance Review: Vol. 4: No. 1, pp 157-171. DOI: 10.1561/104.00000026 IDEAS/RePEC: a/now/jnlcfr/104.00000026.html EconPapers: RePEc:now:jnlcfr:104.00000026

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