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Title:Autocorrelation, investment horizon and efficient frontier composition / BEBR No. 528
Author(s):Gilster, John E.
Contributor(s):University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Autocorrelation (Statistics)
Issue Date:Nov 14 197
Publisher:[Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign,
Series/Report:Faculty working papers ; no. 528
Description:Includes bibliographical references (p. 30-31).
"This paper demonstrates that modest amounts of security autocorrelation can cause the composition of an efficient frontier constructed on the basis of one holding period length assumption to differ substantially from the composition of an efficient frontier constructed on the basis of another holding period length assumption. This will be true even if the efficient frontiers are constructed using the same data base over the same total time span. This finding is derived mathematically and demonstrated empirically. The paper discusses the serious consequences of this finding."
Rights Information:In copyright. Digitized with permission of the University of Illinois Board of Trustees. Contact for information.
Copyright Nov 14 1978 Board of Trustees University of Illinois.
Date Available in IDEALS:2011-09-15
Has Version(s):
Identifier in Online Catalog:321637
OCLC Identifier:(OCoLC)ocm05118069

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