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multiple asset Joint test
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multiple asset Joint test
Encyclopedia
理学
有效前沿投资组合
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multiple asset Joint test
多资产联合检验
在线性回归模型的框架下,对多个资产的联合定价模型成立与否的一种检验方法。多资产的联合定价模型假定模型中资产期望收益率能够完全被定价因子解释,即多个资产的期望收益率形成的列向量与定价因子做线性回归,所有截距项应该为0。若同时考虑个资产,多资产联合检验会检验所有截距项是否为0,即。
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