portfolio: A command for conducting portfolio analysis in Stata

Portfolio analysis is widely used in empirical asset pricing to explore the cross-sectional relation between two or more variables. In this article, we introduce the methodology of portfolio analysis and describe a new command, portfolio, that provides a one-step solution for portfolio analysis. portfolio calculates the equal- or value-weighted returns with a t statistic for the portfolio and tests the significance of a long-short strategy in portfolios. portfolio also provides the Newey–West standard-error adjustment option for alleviating the impact of potential autocorrelation and heteroskedasticity in financial time series.

投资组合分析在实证资产定价领域应用广泛，旨在探究两个及以上变量间的截面关联。本文首先介绍投资组合分析的方法论，并介绍一款全新的`portfolio`命令，该命令可为投资组合分析提供一站式解决方案。`portfolio`命令可计算等权重或市值加权的投资组合收益率，并输出对应t统计量，同时检验多空组合策略的显著性。此外，该命令还提供纽威-韦斯特（Newey–West）标准误调整选项，以缓解金融时间序列中潜在自相关与异方差性带来的影响。