August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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Elsevier UK CH04-H8321 jobcode: FEF 28-6-2007 2:21p.m. Page:99 Trimsize:165
×234MM
Basal Fonts:Sabon Margins:Top:36pt Gutter:15mm Font Size:10/12 Text Width:135mm Depth:47 Lines
99 Optimal portfolios from ordering information
(Using the max value has the disadvantage that it requires F
−1
z at z =0 1, which is not
defined.)
For the normal distribution, these formulas are special cases, with = 0 1, of ‘Blom’s
approximation’ (Blom, 1958)
c
jn
≈ N
−1
n
n
+
−
1
2
−
j
+
−
1
Blom shows (in part analytically, in part reasoning from numerical results) that the values
= 033 and 0.50 provide lower and upper bounds for the true value of
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