Least Squares Predictions and Mean-Variance Analysis

Enrique Sentana

Working Papers from Centro de Estudios Monetarios Y Financieros-

Abstract: 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.

Keywords: RISK; MODELS (search for similar items in EconPapers)
JEL-codes: C13 C51 (search for similar items in EconPapers)
Pages: 13 pages
Date: 1997
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Citations: View citations in EconPapers (3)

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Related works:
Journal Article: Least Squares Predictions and Mean-Variance Analysis (2005)
Working Paper: Least Squares Predictions and Mean-Variance Analysis (1999)
Working Paper: Least Squares Predictions and Mean-Variance Analysis (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:cemfdt:9711

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