Unbiased Estimators of Long-Run Expected Returns Revisited

Pao L. Cheng

Journal of Financial and Quantitative Analysis, 1984, vol. 19, issue 4, 375-393

Abstract: In this paper, a general treatment of identifying the set of unbiased estimators of N-period mean returns is advanced and a new unbiased estimator, which promises near-minimum variance and minimal computation, is formulated. The new estimator is also equally applicable to other processes of compound growth.

Date: 1984
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