Biased estimators - PowerPoint PPT Presentation

Investment Analysis and Portfolio Management

Investment Analysis and Portfolio Management. Lecture 3 Gareth Myles. FT 100 Index. £ and $. Risk. Variance The standard measure of risk is the variance of return or Its square root: the standard deviation Sample variance The value obtained from past data Population variance

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Abhilasha Aswal G N S Prasanna IIIT-B

Estimating Correlated Constraint Boundaries from timeseries data: The multi-dimensional German Tank Problem. Abhilasha Aswal G N S Prasanna IIIT-B. The German Tank Problem. Biased estimators Maximum likelihood Unbiased estimators Minimum Variance unbiased estimator (UMVU)

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