IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v18y1983i02p189-197_01.html
   My bibliography  Save this article

Statistical Inference in Two-Parameter Portfolio Theory with Multiple Regression Software

Author

Listed:
  • Jobson, J. D.
  • Korkie, Bob

Abstract

The purpose of this paper is to demonstrate how multiple regression software may be used for computing estimates of efficient set parameters and for performing tests of mean-standard deviation efficiency. Regression software also is shown to be useful for selecting, from a set of assets, a subset that maximizes performance and for comparing the performance of the set to the subset. The underlying multiple regression model fitted by the software has no relation to the analysis; the regression software is employed simply as a computing device. Since the multiple regression procedure is familiar to most finance researchers and since regression software is commonly available, the techniques presented here should be of wide interest.

Suggested Citation

  • Jobson, J. D. & Korkie, Bob, 1983. "Statistical Inference in Two-Parameter Portfolio Theory with Multiple Regression Software," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(2), pages 189-197, June.
    • Handle: RePEc:cup:jfinqa:v:18:y:1983:i:02:p:189-197_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000010875/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fernandes, Marcelo & Mergulhão, João, 2016. "Anticipatory effects in the FTSE 100 index revisions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 79-90.
    2. Raymond Kan & Guofu Zhou, 2012. "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 139-187, May.
    3. Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
    4. Fernandes, Marcelo & Mergulhão, João, 2016. "Anticipatory effects in the FTSE 100 index revisions," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 79-90.
    5. Lu, Qinye & Vivian, Andrew, 2020. "Domestically formed international diversification," Journal of International Money and Finance, Elsevier, vol. 103(C).
    6. Haim Shalit, 2020. "The Shapley value of regression portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 21(6), pages 506-512, October.
    7. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:18:y:1983:i:02:p:189-197_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.