Can we invest on the basis of equity risk premia and risk factors from multi-factor models?
Paweł Sakowski, Robert Slepaczuk, Mateusz Wywiał
| Year of publication: |
2016
|
|---|---|
| Authors: | Sakowski, Paweł ; Slepaczuk, Robert ; Wywiał, Mateusz |
| Published in: |
Economics and business review. - Poznań : Poznań Univ. of Economics Press, ISSN 2392-1641, ZDB-ID 2820261-2. - Vol. 2.2016, 3, p. 78-98
|
| Subject: | investment algorithms | multi-factor models | Markov switching model | asset pricing models | equity risk premia | risk factors | Markowitz model | Risikoprämie | Risk premium | Portfolio-Management | Portfolio selection | CAPM | Kapitalmarkttheorie | Financial economics | Risiko | Risk | Schätzung | Estimation | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.18559/ebr.2016.3.6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011634969