Kane, Alex; Jacquier, Eric; Marcus, Alan J. - In: Journal of Financial Econometrics 3 (2005) 1, pp. 37-55
It is well known that an unbiased forecast of the terminal value of a portfolio requires compounding at the arithmetic mean return over the investment horizon. However, the maximum-likelihood practice, common with academics, of compounding at the estimator of mean return results in upward biased...