The impact of estimation error on latent factor model forecasts of portfolio risk
Stephen W. Bianchi, Lisa R. Goldberg, and Allan Rosenberg
| Year of publication: |
2017
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|---|---|
| Authors: | Bianchi, Stephen W. ; Goldberg, Lisa ; Rosenberg, Allan |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Pageant Media Ltd., ISSN 0095-4918, ZDB-ID 197145-1. - Vol. 43.2017, 5, spec. iss., p. 147-156
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| Subject: | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Schätzung | Estimation | Faktorenanalyse | Factor analysis | Statistischer Fehler | Statistical error | Risiko | Risk | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686352