Author Topic: Forecasting the Equity Premium and Optimal Portfolios  (Read 892 times)

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Forecasting the Equity Premium and Optimal Portfolios
« on: October 23, 2013, 06:04:59 AM »
Forecasting the Equity Premium and Optimal Portfolios

Abstract:
A good forecast of the future equity premium is therefore of great interest. In this thesis we seek to forecast the equity premium, use it in portfolio optimization and then give evidence on how sensitive the results are to estimation errors and how the impact of these can be minimized.Linear prediction models are commonly used by practitioners to forecast the expected equity premium, this with mixed results. To only choose the model that performs the best in-sample for forecasting, does not take model uncertainty into account.


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Forecasting the Equity Premium and Optimal Portfolios
« on: October 23, 2013, 06:04:59 AM »