Question: 4. Continue the analysis in Example 20.16. Divide the data into 20 blocks of 250 days each, except that the last block will have only

4. Continue the analysis in Example 20.16. Divide the data into 20 blocks of 250 days each, except that the last block will have only 212 days. Use each of the first 19 blocks as training data with the subsequent block as test data. How does portfolio selection based on the CAPM compare with model-free estimation when averaged over the 19 pairs of training and test data sets?

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