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.
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|Date of creation:||1997|
|Contact details of provider:|| Postal: Centro de Estudios Monetarios Y Financieros. Casado del Alisal, 5-28014 Madrid, Spain.|
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- Weiss, Andrew A, 1996. "Estimating Time Series Models Using the Relevant Cost Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 539-560, Sept.-Oct.
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