Risk Neutral Forecasting

Spyros Skouras ()

Economics Working Papers from European University Institute

Abstract: This paper develops statistical and computational tools for modelling returns forecasts to be used by a risk neutral investor. Any forecast with the same sign as the conditional mean optimises the loss function derived from this agents' decision problem, so the class of optimal predictors is rather broad.

Keywords: ECONOMIC MODELS; MATHEMATICAL ANALYSIS; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C51 C53 C63 G19 (search for similar items in EconPapers)
Pages: 61 pages
Date: 1998
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Related works:
Working Paper: Risk Neutral Forecasting (2001)
Working Paper: RISK NEUTRAL FORECASTING (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco98/40

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