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Least Squares Predictions and Mean-Variance Analysis

In an economy with one riskless and one risky asset, we compare the Sharpe ratios of investment funds that allow: i) timing strategies which forecast the market using simple regressions; ii) a strategy which uses multiple regression instead; and iii) a passive allocation which combines the funds in i) with constant weightings.
Year of publication:
1997
Authors: Sentana, E.
Institutions: Centro de Estudios Monetarios y Financieros (CEMFI)
Subject: RISK | MODELS
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Type of publication: Book / Working Paper
Notes:
13 pages
Classification: C13 - Estimation ; C51 - Model Construction and Estimation
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Persistent link: https://www.econbiz.de/10005475098
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