EconPapers    
Economics at your fingertips  
 

Least Squares Predictions and Mean-Variance Analysis

Enrique Sentana () and Enrique Sentana
Authors registered in the RePEc Author Service: Enrique Sentana

FMG Discussion Papers from Financial Markets Group

Abstract: We compare the Sharpe rations of investment funds which combine one riskless and one risky asset following: i) timing strategies which forecast excess returns 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. We show that iii) dominates i) and ii), as it implicitly uses the linear forecasting rule that maximizes the Sharpe ratio of actively traded portfolios, but the relative ranking of i) and ii) is generally unclear. We also discuss under what circumstances the performance of ii) and iii) coincides.

Date: 1999-01
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.lse.ac.uk/fmg/workingPapers/discussionPapers/fmg_pdfs/dp312.pdf (application/pdf)

Related works:
Journal Article: Least Squares Predictions and Mean-Variance Analysis (2005) Downloads
Working Paper: Least Squares Predictions and Mean-Variance Analysis (1999) Downloads
Working Paper: Least Squares Predictions and Mean-Variance Analysis (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fmg:fmgdps:dp312

Access Statistics for this paper

More papers in FMG Discussion Papers from Financial Markets Group
Bibliographic data for series maintained by The FMG Administration ().

 
Page updated 2024-07-23
Handle: RePEc:fmg:fmgdps:dp312