Scholion.ai

Unbiased Estimators of Long-Run Expected Returns Revisited

Pao L. Cheng

Journal of Financial and Quantitative Analysis · 1984 · Volume 19 · Issue 4

DOI: 10.2307/2330780

Abstract

In this paper, a general treatment of identifying the set of unbiased estimators of N-period mean returns is advanced and a new unbiased estimator, which promises near-minimum variance and minimal computation, is formulated. The new estimator is also equally applicable to other processes of compound growth.

Enable JavaScript for citation tools and additional paper interactions.