Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Year of publication: |
2011
|
---|---|
Authors: | Ni, Xiaohui ; Malevergne, Yannick ; Sornette, Didier ; Wöhrmann, Peter |
Publisher: |
Genève : Swiss Finance Inst. |
Subject: | CAPM | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Schätzung | Estimation | USA | United States | 1992-2009 |
Extent: | Online-Ressource (PDF-Datei: 15 S.) |
---|---|
Series: | Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 11,03 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | CAPM = Capital asset pricing model Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | 10.2139/ssrn.1753014 [DOI] |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Quantitative forecast model for the application of the Black-Litterman approach
Becker, Franziska, (2008)
-
The Conditional Capital Asset Pricing Model Revisited : Evidence from High-Frequency Betas
Hollstein, Fabian, (2019)
-
Asset Prices and Capital Share Risks : Theory and Evidence
Byrne, Joseph, (2020)
- More ...
-
Ni, Xiaohui, (2011)
-
NI, Xiaohui,
-
Ni, Xiaohui, (2011)
- More ...