Application of Luenberger Shortage Function on the Zagreb Stock Exchange: Analysis of Efficient Market Portfolios
In order to apply the CAPM in practice, the estimation of the market portfolio presents one of the biggest challenges. Even more so after the research in early 1990's pointed out the mean-variance inefficiency of stock market capitalization-weighted indices. In the paper we perform an in-sample...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Croatian Operational Research Society
2018-01-01
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| Series: | Croatian Operational Research Review |
| Online Access: | http://hrcak.srce.hr/file/310556 |