Forecasting and Low Frequency Movements of Asset Returns

Carl Chiarella, Willi Semmler, Chih-Ying Hsiao and Lebogang Mateane
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Chih-Ying Hsiao: University of Technology

Chapter Chapter 2 in Sustainable Asset Accumulation and Dynamic Portfolio Decisions, 2016, pp 9-17 from Springer

Abstract: Abstract In this chapter we provide an overview on forecasting asset returns and low frequency movements in asset returns. Saving and asset allocation decision, usually focus on low frequency movements in asset returns and how they are expected to behave in the future. Thus, the prevailing consensus in the context of portfolio theory, is of the view that the estimates of the mean, variance and covariance should be forward looking rather than purely historically.

Keywords: Stock Price; Stock Return; Asset Return; Stock Market Return; Equity Premium (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:dymchp:978-3-662-49229-1_2

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DOI: 10.1007/978-3-662-49229-1_2

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