-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation … return distribution has the slowest rate of convergence to normality among groups of assets. Estimation errors of the … imprecisions persist over the investment horizons, the estimation errors of the monthly return have a strong effect on the …

investing within the well-known risk-return paradigm. From the viewpoint of ex-ante equity risk premium (ERP), the five factor …-related systematic risk, ii) the exposure to ESG-related systematic risk is significantly priced in the market, and iii) equity funds …

. Bai, Liu, and Wong (2009) propose a bootstrap-corrected estimator to correct the overestimation, but there is no closed … better than the bootstrap-corrected estimators for both the optimal return and its corresponding allocation. Another … advantage of our improved estimation of returns is that we can also obtain an explicit formula for the standard deviation of the …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency … extraction includes bootstrap procedures for the computation of confidence intervals and real-time procedures for the forecasting …