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

J. D. Jobson and Bob Korkie

Journal of Financial and Quantitative Analysis, 1983, vol. 18, issue 2, 189-197

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.

Date: 1983
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