Statistical Inference in Two-Parameter Portfolio Theory with Multiple Regression Software
展示如何用多元回归软件计算有效集参数、检验均值-标准差效率、选择最优资产子集并比较其表现，对熟悉回归软件的金融研究者有用。
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.