A test on the mean/variance efficiency of the Singapore market portfolio.

• Main Authors: Ong, David Wen Shiong., Chong, You Liang., Huang, Zhiying.
• Other Authors: Charlie Charoenwong
• Format: Final Year Project
• Language: English
• Published: 2011
• Subjects: DRNTU::Business::Finance::Portfolio management
• Online Access: http://hdl.handle.net/10356/44110
• Institution: Nanyang Technological University

The objective of our study is to investigate the applicability of CAPM in Singapore through the testing of the mean/variance efficiency of the Singapore market portfolio. This is the only single testable hypothesis of CAPM as argued by Roll (1977). Our sample comprise of the total monthly returns of...