haku: @author Connor, G. / yhteensä: 5
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| Tekijä: | Connor, G. |
| Otsikko: | Sensible return forecasting for portfolio management |
| Lehti: | Financial Analysts' Journal
1997 : SEP/OCT, VOL. 53:5, p. 44-51 |
| Asiasana: | PORTFOLIO MANAGEMENT FORECASTING FINANCE |
| Kieli: | eng |
| Tiivistelmä: | Black and Litterman showed that a Bayesian adjustment to expected-return forecasts makes them more suitable for use in portfolio management. A new adjustment applies directly to return-forecasting models rather than to the forecasts they produce. This approach eliminates the need for an arbitrary adjustment when forecasts are inserted into a portfolio-choice model and integrates the return-forecasting and portfolio-choice steps of quantitative investment management. |
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