Offers an alternative to Markowitz’s “Portfolio Selection”. Outlines the nuts and bolts of correlation between past and future performance, or between expected and actual returns. Explains optimal ...

This is a preview. Log in through your library . Abstract The paper considers a number of problems arising from the test of serial correlation based on the d statistic proposed earlier by the authors ...

This is a preview. Log in through your library . Abstract There has been increasing concern recently over the use of the simple first order Markov form to model error ...