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Debiased expert forecasts in continuous-time asset allocation

Davis, Mark H. A.; Lleo, Sébastien - In: Journal of banking & finance 113 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012226106

A simple procedure for combining expert opinion with statistical estimates to achieve superior portfolio performance

Davis, Mark H. A.; Lleo, Sébastien - In: The journal of portfolio management : a publication of … 42 (2016) 4, pp. 49-58

Persistent link: https://www.econbiz.de/10011686088

Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world

Lleo, Sébastien; Ziemba, William T. - In: International journal of forecasting 31 (2015) 2, pp. 399-425

Persistent link: https://www.econbiz.de/10011474134

Stock market crashes in 2007 - 2009 : were we able to predict them?

Lleo, Sébastien; Ziemba, William T. - In: Managing and measuring risk : emerging global standards …, (pp. 457-499). 2012

Persistent link: https://www.econbiz.de/10009742614

Predicting stock market crashes in China

Lleo, Sébastien; Ziemba, William T. - In: The journal of portfolio management : a publication of … 44 (2018) 5, pp. 125-135

Persistent link: https://www.econbiz.de/10011879573

Can Warren Buffett forecast equity market corrections?

Lleo, Sébastien; Ziemba, William T. - In: The European journal of finance 25 (2019) 4, pp. 369-393

Persistent link: https://www.econbiz.de/10012206981

Stock market crashes : predictable and unpredictable and what to do about them

Ziemba, William T.; Lleo, Sébastien; Zhitlukhin, Mikhail - 2018

Introduction -- Discovery of the bond-stock earnings yield differential model -- Prediction of the 2007-2009 stock market crashes in the US, China and Iceland -- The high price-earnings stock market danger approach of Campbell and Shiller versus the BSEYD model -- Other prediction models for the...

Persistent link: https://www.econbiz.de/10011712473

Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models?

Lleo, Sébastien; Ziemba, William T. - In: Financial markets, institutions & instruments 26 (2017) 2, pp. 61-123

Persistent link: https://www.econbiz.de/10011713610

Using a mean-changing stochastic processes exit-entry model for stock market long-short prediction

Lleo, Sébastien; Zhitlukhin, M. V.; Ziemba, William T. - In: The journal of portfolio management : JPM 49 (2022) 1, pp. 172-197

Persistent link: https://www.econbiz.de/10014232181

Debiased Expert Forecasts in Continuous Time Asset Allocation

Davis, Mark - 2019

This paper examines the effect of biased expert opinions on asset allocations. Expert opinions, such as brokerage research and analyst views, are an essential component of the asset management sector and an important research topic. However, the effect of behavioral biases on expert opinions is...

Persistent link: https://www.econbiz.de/10012903976