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comment Stock Price Behavior and GARCH
Bob, your assumption is correct. That is exactly what I was asking! Thanks!
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comment How to calculate expected return based on historical data for Mean Variance Analysis
@RockScience, thanks again for the info, very helpful! Sorry if these questions are basic, but I'm trying to understand what the different techniques for forecasting returns are and what those calculations would look like. Is there maybe one you could send me a link to or refer me to a book. The books i've been reading on portfolio theory mentions how the expected rate of return is used but I don't see anywhere in the content where they give examples of how to calculate this. They'll simply list out with returns and probabilities of those returns, but i'd like to see the calculations.
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comment How to calculate expected return based on historical data for Mean Variance Analysis
@RockScience: yes, i've heard the same question asked many times, and have seen in many texts the pitfalls of relying on past returns to estimate future earnings. Although i'm aware of some of these pitfalls, i'm just getting started in this field and so having an understanding of some of the techniques, even if out of fashion, gives me something to cut my teeth on. While we're on the topic though, do you know of any good resources (links, books, etc.) that discuss how to forecast returns? Is that the type of problem time-series analysis would be used for?
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comment How to calculate expected return based on historical data for Mean Variance Analysis
Thanks Bill, i think that'll get me going in the right direction.
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