PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS

M. Weba
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Abstract

Several studies on portfolio construction reveal that sensible strategies essentially yield the same results as their nonsensical inverted counterparts; moreover, random portfolios managed by Malkiel’s dart-throwing monkey would outperform the cap-weighted benchmark index. Forecasting the future development of stock returns is an important aspect of portfolio assessment. Similar to the ostensible arbitrariness of portfolio selection methods, it is shown that there is no substantial difference between the performances of “best” and “trivial” forecasts - even under euphemistic model assumptions on the underlying price dynamics. A certain significance of a predictor is found only in the following special case: the best linear unbiased forecast is used, the planning horizon is small, and a critical relation is not satisfied.
对股票收益的预测可能是错误的:这是对麦基尔关于飞镖投资的断言的随机证实
一些关于投资组合构建的研究表明,合理的投资组合策略与荒谬的反向投资组合策略产生的结果基本相同;此外,由麦基尔的掷飞镖猴子管理的随机投资组合的表现将超过市值加权基准指数。预测股票收益的未来发展是投资组合评估的一个重要方面。与投资组合选择方法表面上的任意性类似,研究表明,“最佳”预测和“微不足道”预测的表现之间没有实质性差异——即使在对潜在价格动态的委婉模型假设下也是如此。只有在以下特殊情况下,即使用最佳线性无偏预测,规划范围很小,且不满足临界关系时,预测器才具有一定的显著性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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