Overview
Alex Kane is a professor of finance at the University of California San Diego. His research spans portfolio theory, equity risk premium estimation, and the interaction between estimation uncertainty and long-horizon investment decisions.
Key Contributions / Features
- Jacquier, Kane, and Marcus (2003): "Geometric or Arithmetic Mean: A Reconsideration" (Financial Analysts Journal) — showed arithmetic mean overstates long-run expected return and that geometric mean is the more appropriate benchmark for long horizons.
- Jacquier, Kane, and Marcus (2004): Derived minimum-MSE estimator of long-run expected portfolio value; proved optimal asset allocation decreases with investment horizon under parameter uncertainty.
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