Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression
Year of publication: |
[2023]
|
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Authors: | van Jaarsveldt, Cole ; Peters, Gareth ; Ames, Matthew ; Chantler, Mike J. |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikoprämie | Risk premium | Kapitaleinkommen | Capital income | Schätzung | Estimation | Regressionsanalyse | Regression analysis | CAPM | Korrelation | Correlation |
Extent: | 1 Online-Ressource (49 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 15, 2023 erstellt |
Other identifiers: | 10.2139/ssrn.4449044 [DOI] |
Classification: | C01 - Econometrics ; C02 - Mathematical Methods ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications |
Source: | ECONIS - Online Catalogue of the ZBW |
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