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A widely accepted method to estimate Beta is the Vasicek (1973) method, which computes a preliminary estimate of Beta by linear regression and then "shrinks it" (adjusts it) towards 1 to compensate for the fact that the OLS Betas tend to be too extreme (too far from 1) in the cross section. I consider it the standard. Recently Ivo Welch has published a new ...


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The short answer is no. If you take the classic monkey-model of a two-asset market. Something like stocks = 6% returns for 18% vol; bonds = 2% returns for 6% vol; with 0 correlation. This gives you the classic/cliched efficient frontier you'd expect: Below are Sharpe Ratios, given %-in-stocks assuming different different risk-free rates. Clearly, as ...


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If the returns of your time series are i.i.d. the Sharpe Ratios (SR) of the daily, weekly or month samples will be the same. Since the more data the better, you should take the daily one. Nevertheless, if your time series is auto-correlated, the different sub-sampling will give you different SR, simply because if your time series is negatively auto-...


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