Modeling covariance risk in Merton's ICAPM
Year of publication: |
2015
|
---|---|
Authors: | Rossi, Alberto ; Timmermann, Allan |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 28.2015, 5, p. 1428-1461
|
Subject: | CAPM | Varianzanalyse | Analysis of variance | Hedging | Kapitaleinkommen | Capital income | Risikoprämie | Risk premium | Wirtschaftsindikator | Economic indicator | USA | United States |
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