When factors do not span their basis portfolios
Year of publication: |
2018
|
---|---|
Authors: | Grinblatt, Mark ; Saxena, Konark |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 53.2018, 6, p. 2335-2354
|
Subject: | Factor Models | Mean Variance Efficient Portfolios | Jackknife Estimators | HML | SMB | Portfolio-Management | Portfolio selection | CAPM | Schätztheorie | Estimation theory | Schätzung | Estimation | Faktorenanalyse | Factor analysis |
-
When Factors Don't Span Their Basis Portfolios
Grinblatt, Mark, (2019)
-
On the choice of covariance specifications for portfolio selection problems
Ferreira, Alexandre R., (2017)
-
Estimating the beta-return relationship by considering the sign and the magnitude of daily returns
Ben Sita, Bernard, (2018)
- More ...
-
Grinblatt, Mark, (2018)
-
When Factors Don't Span Their Basis Portfolios
Grinblatt, Mark, (2019)
-
Development and freedom as risk management
Chowdhry, Bhagwan, (2013)
- More ...