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Unbiased Estimators of Long-Run Expected Returns Revisited
Published online by Cambridge University Press: 06 April 2009
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