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| Tekijä: | Jondeau, E. |
| Otsikko: | Allocation d'actifs et prévision des rendements |
| Lehti: | Finance
1997 : DEC, VOL.18:2, p. 67-81 |
| Asiasana: | ASSETS ALLOCATION RETURN ON INVESTMENT |
| Kieli: | fre |
| Tiivistelmä: | The link between asset allocation and forecasting returns. Compared to the case where the distribution of future returns is known, forecasting returns lead to a decrease in investment opportunities, which depends on the correlation between the future returns and the forecast returns. Moreover, estimating the variance-covariance matrix of future returns does not imply a change of efficient frontier, but a change along the efficient frontier. |
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