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Unbiased Estimators of Long-Run Expected Returns Revisited

Published online by Cambridge University Press:  06 April 2009

Pao L. Cheng
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Abstract

In this paper, a general treatment of identifying the set of unbiased estimators of N-period mean returns is advanced and a new unbiased estimator, which promises near-minimum variance and minimal computation, is formulated. The new estimator is also equally applicable to other processes of compound growth.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 19 , Issue 4 , December 1984 , pp. 375 - 393
Copyright
Copyright © School of Business Administration, University of Washington 1984

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References

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