Estimation of Multiperiod Expected Rates of Return When Investment Relatives Are Lognormally Distributed
扩展了Blume(1974)的工作，针对投资相对值服从对数正态分布的情况，推导了多期预期投资相对值的最小方差无偏估计量及其方差，并开发了包括近似最小均方误差估计量在内的五种其他估计量，基于纽交所股票组合和指数共同基金进行了实证研究。
This article extends Blume's (1974) work on the estimation of multiperiod expected rates of return to the interesting case in which investment relatives are lognormally distributed. We derive the minimum variance unbiased estimator for the expected multiperiod investment relative and its variance. We also develop five other estimators, including an approximate minimum mean squared error estimator. Two empirical studies are made, one based on portfolios of New York Stock Exchange stocks and the other on an index mutual fund.