Imperfect Foresight
49 Pages Posted: 7 Jan 2019
Date Written: December 22, 2018
Abstract
We present an explicit framework for horizon based investing that results in superior expected risk adjusted returns and lower turnover. The framework includes a means of empirically determining an expected horizon and its confidence intervals, an alpha model structure linking horizon with the inter-arrival rate of information, and a Fama-MacBeth forecasting model.
Suggested Citation: Suggested Citation
Briggs, Jonathan and Freeman, Brendon and Konukoglu, Emre and Zaugg, Philippe, Imperfect Foresight (December 22, 2018). Available at SSRN: https://ssrn.com/abstract=3305734 or http://dx.doi.org/10.2139/ssrn.3305734
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