Stock returns are not always from the same distribution: Evidence from the Great Recession
Portfolio allocation strategies, and notably the mean-variance approach, use past returns to assign optimal weights. Even though both past and expected returns should come from the same distribution, a formal test of whether this holds in practice has not been conducted yet. Thus, the study examines...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2020-09-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14007/IMFI_2020_03_Michail.pdf |