Jian (Jay) Yao

MSCI Inc.

88 Pine Street

2nd Floor

New York, NY 10005

United States

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Forecast Risk Bias in Optimized Portfolios, October 2009

MSCI Barra Research Paper No. 2009-36
Number of pages: 12 Posted: 21 Nov 2009
Jennifer Bender, Jyh-Huei Lee, Dan Stefek and Jian (Jay) Yao
State Street Global Advisors, MSCI Inc., MSCI Inc. and MSCI Inc.
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Abstract:

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forecast risk bias optimized portfolios covariance matrix underestimates true risk factor structure returns