Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
The authors propose a likelihood- ratio test of the hypothesis that the minimum-variance frontier of a set of K assets coincides with the frontier of this set and another s et of N assets. They study the relation between this hypothesis, exac t arbitrage pricing, and mutual-fund separation. The exact distributi on of the test statistic is presented. The authors test the hypothesi s that the frontier spanned by three size-sorted stock portfolios is the same as the frontier spanned by thirty-three size-sorted stock po rtfolios. Copyright 1987 by American Finance Association.