August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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188 Forecasting Expected Returns in the Financial Markets
References
Almgren, R. and Chriss, N. (2004). Portfolio optimization without forecasts. Working Paper.
Almgren, R. and Chriss, N. (2006). Optimal portfolios from ordering information. Journal of Risk, 9(1),
reproduced in this book as Chapter 4.
Anderson, E., Hansen, L. and Sargent, T. (2000). Robustness, detection, and the price of risk. Working Paper,
Stanford University.
Barberis, N. (2000). Investing
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