Statistical Methods in Tests of Portfolio Efficiency: A Synthesis
Posted: 15 Jul 1998
Date Written: Undated
This paper provides a review of statistical methods that have been used in testing the mean-variance efficiency of a portfolio, with or without a riskless asset. Topics considered include asymptotic properties of the two-pass methodology for estimating coefficients in the expected return/beta relation; the errors-in-variables problem in two-pass estimation; small-sample properties and economic interpretation of multivariate tests of expected return linearity in beta.
JEL Classification: C40
Suggested Citation: Suggested Citation