Refining expected market return estimation: fusing multiple valuation models as an approach to reducing uncertainty
This paper presents a methodology aimed at reducing the uncertainty associated with estimating the expected market return within a bounded rationality framework. The proposed approach involves calculating the implicit rate of return using various valuation models and subsequently merging them using...
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| Format: | Article |
| Language: | Portuguese |
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Pontifícia Universidade Católica de São Paulo
2024-02-01
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| Series: | Revista Eletrônica do Departamento de Ciências Contábeis & Departamento de Atuária e Métodos Quantitativos |
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| Online Access: | https://revistas.pucsp.br/index.php/redeca/article/view/65021 |
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| _version_ | 1832583297711996928 |
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| author | Thiago Petchak Gomes |
| author_facet | Thiago Petchak Gomes |
| author_sort | Thiago Petchak Gomes |
| collection | DOAJ |
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This paper presents a methodology aimed at reducing the uncertainty associated with estimating the expected market return within a bounded rationality framework. The proposed approach involves calculating the implicit rate of return using various valuation models and subsequently merging them using the Kalman Filter technique to minimize estimation errors. The contribution of this study lies in the application of the Kalman Filter, which enables the expected market return to be refined and provides a more accurate estimate by mitigating uncertainty. The ability to determine an accurately expected market return assumes critical significance in investment decision-making. Therefore, investors can utilize this methodology as a tool to enhance the precision of their investment choices. By reducing uncertainty in estimating the expected market return, this approach empowers investors to make more informed and confident decisions.
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| format | Article |
| id | doaj-art-57ea68b5c5ec49909d0ff51693d4ab9d |
| institution | Kabale University |
| issn | 2446-9513 |
| language | Portuguese |
| publishDate | 2024-02-01 |
| publisher | Pontifícia Universidade Católica de São Paulo |
| record_format | Article |
| series | Revista Eletrônica do Departamento de Ciências Contábeis & Departamento de Atuária e Métodos Quantitativos |
| spelling | doaj-art-57ea68b5c5ec49909d0ff51693d4ab9d2025-01-28T17:54:05ZporPontifícia Universidade Católica de São PauloRevista Eletrônica do Departamento de Ciências Contábeis & Departamento de Atuária e Métodos Quantitativos2446-95132024-02-011110.23925/2446-9513.2024v11id65021Refining expected market return estimation: fusing multiple valuation models as an approach to reducing uncertaintyThiago Petchak Gomes This paper presents a methodology aimed at reducing the uncertainty associated with estimating the expected market return within a bounded rationality framework. The proposed approach involves calculating the implicit rate of return using various valuation models and subsequently merging them using the Kalman Filter technique to minimize estimation errors. The contribution of this study lies in the application of the Kalman Filter, which enables the expected market return to be refined and provides a more accurate estimate by mitigating uncertainty. The ability to determine an accurately expected market return assumes critical significance in investment decision-making. Therefore, investors can utilize this methodology as a tool to enhance the precision of their investment choices. By reducing uncertainty in estimating the expected market return, this approach empowers investors to make more informed and confident decisions. https://revistas.pucsp.br/index.php/redeca/article/view/65021Kalman FilterValuation ModelsUncertaintyMarket Expected Return |
| spellingShingle | Thiago Petchak Gomes Refining expected market return estimation: fusing multiple valuation models as an approach to reducing uncertainty Revista Eletrônica do Departamento de Ciências Contábeis & Departamento de Atuária e Métodos Quantitativos Kalman Filter Valuation Models Uncertainty Market Expected Return |
| title | Refining expected market return estimation: fusing multiple valuation models as an approach to reducing uncertainty |
| title_full | Refining expected market return estimation: fusing multiple valuation models as an approach to reducing uncertainty |
| title_fullStr | Refining expected market return estimation: fusing multiple valuation models as an approach to reducing uncertainty |
| title_full_unstemmed | Refining expected market return estimation: fusing multiple valuation models as an approach to reducing uncertainty |
| title_short | Refining expected market return estimation: fusing multiple valuation models as an approach to reducing uncertainty |
| title_sort | refining expected market return estimation fusing multiple valuation models as an approach to reducing uncertainty |
| topic | Kalman Filter Valuation Models Uncertainty Market Expected Return |
| url | https://revistas.pucsp.br/index.php/redeca/article/view/65021 |
| work_keys_str_mv | AT thiagopetchakgomes refiningexpectedmarketreturnestimationfusingmultiplevaluationmodelsasanapproachtoreducinguncertainty |