How could you connect the best linear unbiased estimate

Reference no: EM13925279

How could you connect the best linear unbiased estimate combining K forecasts for each of N assets to an approach estimating factor portfolios for each of the K forecasts and then optimally combining those factor portfolios to maximize the overall information ratio?

Reference no: EM13925279

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How could you connect the best linear unbiased estimate : How could you connect the best linear unbiased estimate combining K forecasts for each of N assets to an approach estimating factor portfolios for each of the K forecasts.

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