On Market Timing And Investment Performance Part I An Equilibrium Theory of Va
On Market Timing And Investment Performance Part I An Equilibrium Theory of Va
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In our eReader you can find the full English version of the book. Read On Market Timing And Investment Performance Part I An Equilibrium Theory of Va Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book On Market Timing And Investment Performance Part I An Equilibrium Theory of Va
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To quickly assess the difficulty of the text, read a short excerpt:
By hypothesis, y(t) is distributed independent of Zjj(t) . Therefore, p^(t) = prob{Y(t) = 0|Zj^(t) R(t)} = 1 - p^(t). Hence, p, (t) + p^(t) = 1, and by Proposition III. 2, the forecast has zero value.
So, if forecasts are formed by simply flipping a (not necessarily fair) coin where n is the probability that the forecast will be Y(t) = and 1 - ri is the probability that the forcast will be Y(t) = 1, then p, (t) = r\ and p«(t) = 1 - n, and therefore, such forecasts will have zero value. Include...d as a special case of this type of forecast is to always forecast that Z (t) _ R(t) (i. E. , Y(t) = 1, p^(t) = n = and p„(t) = 1). Like a stopped clock, such a forecast will sometimes be correct, but it never has any value.
Having established that completely random forecasts have zero value, we now go to the other extreme and show that completely predictable forecasts also have zero value.
What to read after On Market Timing And Investment Performance Part I An Equilibrium Theory of Va?
You can find similar books in the "Read Also" column, or choose other free books by Robert C Merton to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
By hypothesis, y(t) is distributed independent of Zjj(t) . Therefore, p^(t) = prob{Y(t) = 0|Zj^(t) R(t)} = 1 - p^(t). Hence, p, (t) + p^(t) = 1, and by Proposition III. 2, the forecast has zero value.
So, if forecasts are formed by simply flipping a (not necessarily fair) coin where n is the probability that the forecast will be Y(t) = and 1 - ri is the probability that the forcast will be Y(t) = 1, then p, (t) = r\ and p«(t) = 1 - n, and therefore, such forecasts will have zero value. Include...d as a special case of this type of forecast is to always forecast that Z (t) _ R(t) (i. E. , Y(t) = 1, p^(t) = n = and p„(t) = 1). Like a stopped clock, such a forecast will sometimes be correct, but it never has any value.
Having established that completely random forecasts have zero value, we now go to the other extreme and show that completely predictable forecasts also have zero value.
What to read after On Market Timing And Investment Performance Part I An Equilibrium Theory of Va?
You can find similar books in the "Read Also" column, or choose other free books by Robert C Merton to read onlineMoreLess
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