Alpha forecasting in factor investing : discriminating between the informational content of firm characteristics
Year of publication: |
2019
|
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Authors: | Heinrich, Lars ; Zurek, Martin |
Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 33.2019, 3, p. 243-275
|
Subject: | Factor investing | Multifactor | Alpha forecasting | Stock screening | Z-score | Information coefficient | Optimal orthogonal portfolio | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | CAPM | Informationswert | Information value | Kapitaleinkommen | Capital income | Prognose | Forecast |
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