PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS

DOI10.17654/TS062020131zbMath1499.62395OpenAlexW3205595888MaRDI QIDQ5069517

Michael Weba

Publication date: 19 April 2022

Published in: Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/ts062020131

zbMATH Keywords

predictionstock returnscritical relationmodified Black-Scholes modelrelative volatility

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Prediction theory (aspects of stochastic processes) (60G25) Portfolio theory (91G10)

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