1979
DOI: 10.1111/j.1540-6288.1979.tb02038.x
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Autocorrelation, Investment Horizon and Efficient Frontier Composition

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Cited by 10 publications
(8 citation statements)
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“…The validity of equations (14) and (15) has been confirmed with simulations similar to the one described in Table 1.…”
Section: Intervaling Effect On Moments Of Simple Returnssupporting
confidence: 58%
“…The validity of equations (14) and (15) has been confirmed with simulations similar to the one described in Table 1.…”
Section: Intervaling Effect On Moments Of Simple Returnssupporting
confidence: 58%
“…The reported t-statistics indicate that all the estimated slopes b i are significantly greater than one, and that 40 percent of the estimated intercepts are significantly negative at the 5 percent level of 'Comparing eqs. (7) and (9) we see:…”
Section: The Relationship Between the Intertemporal Cross Correlatmentioning
confidence: 89%
“…Also, it is evident from eqs. (7) and (9) that while b i contains an unweighted average of the q-ratios, a i contains a weighted average of the same ratios. In ai' the higher order q-ratios have higher weights and this has the effect of magnifying the value of small and probably insignificant q-ratios of higher orders.…”
Section: The Relationship Between the Intertemporal Cross Correlatmentioning
confidence: 99%
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