{"id":"W2770921054","doi":"10.3905/jpm.2015.41.4.068","title":"Implied Expected Returns and the Choice of a Mean–Variance Efficient Portfolio Proxy","year":2015,"lang":"en","type":"article","venue":"The Journal of Portfolio Management","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":0,"is_retracted":false,"has_abstract":true,"ca_institutions":"Université Laval","funders":"","keywords":"Portfolio; Proxy (statistics); Variance (accounting); Econometrics; Economics; Covariance matrix; Variance risk premium; Market portfolio; Covariance; Modern portfolio theory; Portfolio optimization; Mathematics; Financial economics; Statistics; Volatility (finance); Stochastic volatility; Volatility risk premium","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002954107,0.000164743,0.0004872326,0.0002135373,0.00009212334,0.00005957612,0.0004511628,0.00004181332,0.00007198082],"category_scores_gemma":[0.0001144137,0.00009892681,0.0001191477,0.0003333702,0.0002500549,0.0001454104,0.0001546339,0.0001732074,0.000008704227],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00006165334,"about_ca_system_score_gemma":0.00003535456,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0001516438,"about_ca_topic_score_gemma":0.00000715537,"domain_scores_codex":[0.9983341,0.00005804344,0.001058433,0.0001522044,0.0001577838,0.0002394357],"domain_scores_gemma":[0.9977839,0.00007426368,0.001563661,0.0003814882,0.0001090934,0.00008762196],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"observational","study_design_scores_codex":[0.0005436298,0.0001724484,0.003857649,0.00006418379,0.0003644617,0.00002112259,0.002529661,0.0006566739,0.00001086825,0.9779431,0.01335326,0.0004828992],"study_design_scores_gemma":[0.02124029,0.001463684,0.4220234,0.0004157689,0.0007604033,0.0002444709,0.01551177,0.004901202,0.000263865,0.357388,0.1746339,0.001153266],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.8093644,0.009111796,0.001446433,0.002292079,0.0008860875,0.0008945573,0.00001664947,0.00001741414,0.1759706],"genre_scores_gemma":[0.9966491,0.001491374,0.0003009056,0.0003051657,0.0001380563,0.00001014806,9.306553e-7,0.00001550019,0.001088826],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.6205552,"threshold_uncertainty_score":0.4034118,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03217452433740626,"score_gpt":0.2316895322822898,"score_spread":0.1995150079448836,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}