A new risk factor based on equity duration
Year of publication: |
November 2018
|
---|---|
Authors: | Mohrschladt, Hannes ; Nolte, Sven |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 96.2018, p. 126-135
|
Subject: | Duration | Multifactor models | Asset pricing | State variable innovations | Theorie | Theory | CAPM | Portfolio-Management | Portfolio selection | Dauer | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income |
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