Analyzing Investments Whose Histories Differ in Length.

This study explores multivariate methods for investment analysis based on a sample of return histories that differ in length across assets. The longer histories provide greater information about moments of returns, not only for the longer-history assets, but for the shorter-history assets as well.

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Year of publication:	1996
Authors:	Stambaugh, R-F
Institutions:	Rodney L. White Center for Financial Research, Wharton School of Business
Subject:	STATISTICS \| RISK \| INTERNATIONAL FINANCIAL MARKET

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Series:	Rodney L. White Center for Financial Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	44 pages
Classification:	G11 - Portfolio Choice ; G15 - International Financial Markets ; C11 - Bayesian Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005245257