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Im Kapitalmarktkontext ist die Sachlage jedoch umgekehrt, da verl\u00e4ssliche Kurzfrist-Prognosen durch Arbitrageure sofort zunichte gemacht w\u00fcrden. Ex ante ist der Performance-Index am Prognosehorizont eine extrem rechtsschief verteilte Zufallsvariable. Prognosen, die auf dessen Modalwert abzielen, sind daher viel zu pessimistisch. Prognosen, die auf den Erwartungswert abzielen, sind dagegen zu optimistisch. Von den drei prominenten Lagema\u00dfen ist nur der Median in der Lage, als Basis f\u00fcr eine verl\u00e4ssliche Prognose zu dienen. Es werden einige Praktiker-Verfahren untereinander und mit einem neuen Prognoseverfahren verglichen, welches auf der erwartungstreuen Sch\u00e4tzung des Medians beruht. Zur Illustration der Verfahren und der resultierenden Prognosen werden Daten des DAX bis 2022 verwendet. Es zeigt sich unter anderem, dass der erwartungstreue Median-Sch\u00e4tzer bessere Prognosen als das beste \u201aPraktiker-Verfahren\u2018 liefert.<\/jats:p>","DOI":"10.1007\/s11943-023-00322-0","type":"journal-article","created":{"date-parts":[[2023,7,13]],"date-time":"2023-07-13T11:02:20Z","timestamp":1689246140000},"page":"161-181","update-policy":"http:\/\/dx.doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":1,"title":["Langfrist-Prognose von Performance-Indizes: Vergleich einiger Verfahren","Long-term forecast of performance indices: comparison of some procedures"],"prefix":"10.1007","volume":"17","author":[{"given":"G\u00fcnter","family":"Bamberg","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Sebastian","family":"Heiden","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Michael","family":"Krapp","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2023,7,13]]},"reference":[{"key":"322_CR1","doi-asserted-by":"publisher","first-page":"239","DOI":"10.1007\/s002910050088","volume":"21","author":"G Bamberg","year":"1999","unstructured":"Bamberg\u00a0G, Dorfleitner\u00a0G (1999) Ein Modell zur Analyse des Limitorder-Tradings in Index-Futures-M\u00e4rkten. 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