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.
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Paper provided by Centro de Estudios Monetarios Y Financieros- in its series Papers with number
9711.
Length: 13 pages Date of creation: 1997 Date of revision: Handle: RePEc:fth:cemfdt:9711
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Find related papers by JEL classification: C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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