Testing the APT with the maximum Sharpe ratio of extracted factors
Year of publication: |
2009
|
---|---|
Authors: | Zhang, Chu |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 55.2009, 7, p. 1255-1266
|
Subject: | Arbitrage Pricing | Arbitrage pricing | Betafaktor | Beta risk | Statistischer Test | Statistical test | Schätzung | Estimation | USA | United States | 1965-2004 |
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