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| Author: | Meade, N. Salkin, G. R. |
| Title: | The selection of multinational equity portfolios: forecasting models and estimation risk |
| Journal: | The European Journal of Finance
2000 : SEP, VOL. 6:3, p. 259-279 |
| Index terms: | Portfolio selection STOCK MARKETS Forecasting Mathematical models Risk |
| Language: | eng |
| Abstract: | The problem considered is the selection of a portfolio of international assets, particularly the forecasting of the inputs to a selection algorithm. Four models of the asset return generating process are considered. Several estimation methods are considered for each component: expected return, variance and covariance of returns. The analysis suggests that the choice of estimation method is more critical than the choice of pricing model. |
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