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Using, taming or avoiding the factor zoo? : a double-shrinkage estimator for covariance matrices
De Nard, Gianluca; Zhao, Zhao - In: Journal of empirical finance 72 (2023), pp. 23-35
Persistent link: https://www.econbiz.de/10014476795
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Follow the leader : index tracking with factor models
Jiang, Pan; Perez, M. Fabricio - In: Journal of empirical finance 64 (2021), pp. 337-350
Persistent link: https://www.econbiz.de/10013259499
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Country versus sector factors in equity returns : the roles of non-unit exposures
Moor, Lieven de; Sercu, Piet - In: Journal of empirical finance 18 (2011) 1, pp. 64-77
Persistent link: https://www.econbiz.de/10009301177
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On the stability of portfolio selection models
Cesarone, Francesco; Mango, Fabiomassimo; Mottura, Carlo D. - In: Journal of empirical finance 59 (2020), pp. 210-234
Persistent link: https://www.econbiz.de/10012437975
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A comparison of non-Gaussian VaR estimation and portfolio construction techniques
Allen, David; Lizieri, Colin; Satchell, Stephen - In: Journal of empirical finance 58 (2020), pp. 356-368
Persistent link: https://www.econbiz.de/10012430709
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Equity premium predictions with many predictors : A risk-based explanation of the size and value factors
Stivers, Adam - In: Journal of empirical finance 45 (2018), pp. 126-140
Persistent link: https://www.econbiz.de/10012102421
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Testing multi-beta asset pricing models
Velu, Raja P.; Zhou, Guofu - In: Journal of empirical finance 6 (1999) 3, pp. 219-241
Persistent link: https://www.econbiz.de/10001426357
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Modeling the cross-section of stock returns using sensible models in a model pool
Chiang, I-Hsuan Ethan; Liao, Yin; Zhou, Qing - In: Journal of empirical finance 60 (2021), pp. 56-73
Persistent link: https://www.econbiz.de/10012692977
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The benefits of improved covariance estimation
Turtle, Harry J.; Wang, Kainan - In: Journal of empirical finance 37 (2016), pp. 233-246
Persistent link: https://www.econbiz.de/10011663041
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Uncertainty in the Black-Litterman model : empirical estimation of the equilibrium
Fuhrer, Adrian; Hock, Thorsten - In: Journal of empirical finance 72 (2023), pp. 251-275
Persistent link: https://www.econbiz.de/10014476878