Testing Portfolio Efficiency when the Zero‐Beta Rate is Unknown: A Note
推导了投资组合效率似然比检验分布函数的下界，并展示该下界可在某些情况下无需渐近近似即可拒绝原假设，同时开发了在多元框架中纳入零贝塔截距部分信息的方法。
ABSTRACT A lower bound on the distribution function of the likelihood ratio test of portfolio efficiency is derived. An empirical application demonstrates that the bound may sometimes be used to infer rejection of the null hypothesis without appeal to asymptotic statistical approximations. A procedure for incorporating partial information about the zero‐beta intercept, in the multivariate framework, is also developed and applied.