Statistical Methods in Tests of Portfolio Efficiency: A Synthesis

Posted: 15 Jul 1998

See all articles by Jay A. Shanken

Jay A. Shanken

Emory University - Goizueta Business School; National Bureau of Economic Research (NBER)

Date Written: Undated

Abstract

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

Shanken, Jay A., Statistical Methods in Tests of Portfolio Efficiency: A Synthesis (Undated). Available at SSRN: https://ssrn.com/abstract=7023

Jay A. Shanken (Contact Author)

Emory University - Goizueta Business School ( email )

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National Bureau of Economic Research (NBER)

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