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An Artificial Technical Analysts view
Risk Neutral Forecasting
3 other sections not shown
algorithm Artificial Technical Analyst asset Assumption 4.1 asymptotic average rule behaviour binary Brock Chapter characterise computational conditional distribution conditional mean context converges correctly specified decision problem defined discrete investment rules discretisation distribution of returns DJIA econometric economic empirical equicontinuity estimating the sign example expected utility financial markets financial series formalise Hence implies interest investment decisions least squares Lemma loss function Manski market efficiency mators minimise moving average neutral best predictor neutral forecasting model objective function obtained optimal decision optimisation parameter past prices performance Pesaran prediction profits properties propose pseudo-optimal quantile random variable regression mapping restricted risk function risk neutral best Risk Neutral Forecasting risk neutral investor risk-neutral RNBP ſ hN(X sample Section sign of returns simulation solution specification standard statistical step function M-estimator sufficient condition technical trading rules transaction costs utility functions zero