## Using Multiple Imputation to Simulate Time Series: A proposal to solve the distance effect

- SEBASTIAN CANO
- 2010

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz’s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample… (More)