Method of Scholes and Williams (1977)

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Table of contents

1 Introduction 
1.1 Background
1.2 Purpose and Aim
2 Mathematical Theory 
2.1 Market model
2.2 Non synchronous trading
2.2.1 Method of Scholes and Williams (1977)
2.2.2 Method of Dimson (1979)
2.3 Smoothed returns
2.3.1 Method of Getmansky et al. (2004)
2.3.2 Method of Okunev and White (2003)
3 Data 
3.1 Private equity
3.2 Real estate
3.3 Infrastructure
3.4 Market Index
3.5 Risk-free asset
4 Results 
4.1 Adjusted performance statistics
4.2 Portfolio optimization
5 Discussion 
6 Conclusion 
7 Acknowledgements