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Contrary to the classic framework of passive strategies, if investors exploit return predictability through active strategies then there is a tension between the mean-variance frontiers that drive empirical work and the mean-variance preferences that are used in finance theory. We show that...
Persistent link: https://www.econbiz.de/10011071262
controversial questions are addressed for each model: time-variation in risk premia and parameter uncertainty. …
Persistent link: https://www.econbiz.de/10011071472