基于预测的投资策略（几乎）毫无用处
Investment strategies based on forecasts are (almost) useless
AI总结：
本文比较股票收益预测策略，证明即使在宽松价格动态假设下，“最佳”与“平凡”预测的投资组合表现也几乎无差异，仅在最佳线性无偏预测、短规划期且临界关系不满足时预测因子才具显著性。
摘要：
多项关于投资组合构建的研究表明，合理策略本质上产生与其荒谬的反向对应策略相同的结果；此外，由 Malkiel 掷镖猴子管理的随机投资组合会跑赢市值加权基准指数。预测股票收益的未来走势是投资组合评估的重要方面。与投资组合选择方法表面上的任意性相似，本文表明，即使在对基础价格动态采取宽松的模型假设下，“最佳”预测与“平凡”预测的表现之间也不存在实质性差异。仅在以下特殊情况下才发现预测因子具有一定显著性：使用最佳线性无偏预测、规划期较短，并且某个临界关系未得到满足。
英文摘要：
Several studies on portfolio construction reveal that sensible strategies essentially yield the same results as their nonsensical inverted counterparts; moreover, random portfolios managed by Malkiel's dart-throwing monkey would outperform the cap-weighted benchmark index. Forecasting the future development of stock returns is an important aspect of portfolio assessment. Similar to the ostensible arbitrariness of portfolio selection methods, it is shown that there is no substantial difference between the performances of ``best'' and ``trivial'' forecasts - even under euphemistic model assumptions on the underlying price dynamics. A certain significance of a predictor is found only in the following special case: the best linear unbiased forecast is used, the planning horizon is small, and a critical relation is not satisfied.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
