Asset pricing models with measurement error problems : a new framework with Compact Genetic Algorithms
Year of publication: |
2022
|
---|---|
Authors: | Diyarbakirlioglu, Erkin ; Desban, Marc ; Lajili Jarjir, Souad |
Published in: |
Finance : revue de l'Association Française de Finance. - Paris : Presses Universitaires de France, ISSN 2101-0145, ZDB-ID 2437679-6. - Vol. 43.2022, 2, p. 1-78
|
Subject: | Asset pricing | CAPM | Fama-French three- and five-factor models | Market Portfolio | Time-series regressions | Ordinary-Least Squares (OLS) | Errors-in-variables (EIV) | GMM with Instrumental Variables | Compact Genetic Algorithms (CGA) | Theorie | Theory | Statistischer Fehler | Statistical error | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Momentenmethode | Method of moments | Evolutionärer Algorithmus | Evolutionary algorithm | Regressionsanalyse | Regression analysis |
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