Diversification and the Optimal Construction of Basis Portfolios
Year of publication: |
2005
|
---|---|
Authors: | Lehmann, Bruce N. ; Modest, David M. |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 51.2005, 4, p. 581-598
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | basis | Fama-MacBeth | mimicking | minimum idiosyncratic risk portfolios | principal components | maximum likelihood factor analysis | approximate factor structure | arbitrage pricing theory (APT) | diversification | cross-sectional regression | ordinary and weighted least squares | large cross-sections | bootstrapping |
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