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The Journal of Wealth Management

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The Next Best Thing to Knowing Someone Who is Usually Right

Gary Smith, Joseph Steinberg and Robert Wertheimer
The Journal of Wealth Management Winter 2006, 9 (3) 51-60; DOI: https://doi.org/10.3905/jwm.2006.661432
Gary Smith
A professor of economics in the Department of Economics at Pomona College in Claremont, CA.
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  • For correspondence: gary@smithfinancialplace.com
Joseph Steinberg
An analyst at CRA International in Pasadena, CA.
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  • For correspondence: jsteinberg@crai.com
Robert Wertheimer
An analyst at Analysis Group, Inc. in Menlo Park, CA.
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  • For correspondence: rwertheimer@analysisgroup.com
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Abstract

Mean-variance analysis is widely used for portfolio allocation decisions. The use of historical data for the inputs may be inferior to using informed estimates that reflect one's beliefs about the current financial environment. In this article we show that portfolios based on expert opinion can outperform portfolios based on historical data, and that even better performance can be achieved by taking into account regression to the mean.

TOPICS: Portfolio construction, statistical methods, performance measurement

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The Journal of Wealth Management
Vol. 9, Issue 3
Winter 2006
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The Next Best Thing to Knowing Someone Who is Usually Right
Gary Smith, Joseph Steinberg, Robert Wertheimer
The Journal of Wealth Management Oct 2006, 9 (3) 51-60; DOI: 10.3905/jwm.2006.661432

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The Next Best Thing to Knowing Someone Who is Usually Right
Gary Smith, Joseph Steinberg, Robert Wertheimer
The Journal of Wealth Management Oct 2006, 9 (3) 51-60; DOI: 10.3905/jwm.2006.661432
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