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Optimality and diversifiability of mean variance and arbitrage pricing portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using … literature for the exact pricing case to two other cases of asymptotic no-arbitrage and the unconstrained pricing scenarios. The … ; mean-variance portfolio ; arbitrage pricing ; market (beta) neutrality ; well diversification …

Persistent link: https://www.econbiz.de/10003910456

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

Pesaran, M. Hashem - 2009

Persistent link: https://www.econbiz.de/10013153425

Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

Persistent link: https://www.econbiz.de/10013233142

The role of factor strength and pricing errors for estimation and inference in asset pricing models

Pesaran, M. Hashem; Smith, Ron - 2019

In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...

Persistent link: https://www.econbiz.de/10012118575

Factor strengths, pricing errors, and estimation of risk premia

Pesaran, M. Hashem; Smith, Ron - 2021

This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While the literature just distinguishes strong and...

Persistent link: https://www.econbiz.de/10012486668