Student or educator? Sign up with your school email and get 6 months of Pro free.
CoChat
Sign Up
Cited by 2,350

The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.

A Test of the Efficiency of a Given Portfolio

Gibbons, Michael R., Ross, Stephen A., Shanken, Jay·1989·Econometrica
DOI 10.2307/1913625
Open this paper in CoChat — free account

Abstract

A test for the ex ante efficiency of a given portfolio of assets is analyzed. The relevant statistic has a tractable small sample distribution. Its power function is derived and used to study the sensitivity of the test to the portfolio choice and to the number of assets used to determine the ex post mean-variance efficient frontier. Several intuitive interpretations of the test are provided, including a simple mean-standard deviation geometric explanation. A univariate test, equivalent to our multivariate-based method, is derived, and it suggests some useful diagnostic tools which may explain why the null hypothesis is rejected. Empirical examples suggest that the multivariate approach can lead to more appropriate conclusions than those based on traditional inference which relies on a set of dependent univariate statistics. Copyright 1989 by The Econometric Society.

Overview

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Integrity signals

Registry

Crossref · 10.2307/1913625

Cites

1 of 1 references verified0 citation errors · 0 not checkable

Statistics

Verification

Claims the paper makes

The claims and statistics of this paper haven’t been checked yet.

Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.

A few free checks a day · papers already verified open instantly · results are public

Self-check

Percentages, sums and reported differences re-computed from the paper’s own numbers.

The self-check needs the paper’s full text.

Citations

Cites

Show all 1 references

Cited by

See all 2,350

Metadata

Authors
Gibbons, M. R., Ross, S. A., & Shanken, J.
Venue
Econometrica
Publisher
JSTOR
Published
1989-09
Volume
57
Issue
5
Pages
1121
ISSN
0012-9682 (ISSN-L)
DOI
10.2307/1913625
OpenAlex
W2149990348
Cited by
2,350
References
1
FWCI
23.04
Type
journal article
Language
en
Open access
closed

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review

How to cite

Cite CoChat for the checks on this page, and the paper for its own findings.

This page
CoChat. (2026). Citation check: A Test of the Efficiency of a Given Portfolio. https://app.cochat.ai/papers/10.2307/1913625
The paper
Gibbons, M. R., Ross, S. A., & Shanken, J. (1989). A Test of the Efficiency of a Given Portfolio. Econometrica. https://doi.org/10.2307/1913625

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.