Portfolio turnover when IC is time-varying
Year of publication: |
2020
|
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Authors: | Ding, Zhuanxin ; Martin, R. Douglas ; Yang, Chaojun |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 21.2020, 7, p. 609-622
|
Subject: | Turnover | Leverage | Factor model | Conditional mean forecast | Conditional forecast error covariance matrix | Transfer coefficient | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Korrelation | Correlation | Arbeitsmobilität | Labour mobility | Statistischer Fehler | Statistical error | Schätztheorie | Estimation theory |
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