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Rudolf, Markus; Ziemba, William T. - In: Journal of economic dynamics & control 28 (2004) 5, pp. 975-990

Persistent link: https://www.econbiz.de/10001856036

Essays in asset pricing and financial econometrics

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A shrinkage approach to model uncertainty and asset allocation

Wang, Zhenyu - In: The review of financial studies 18 (2005) 2, pp. 673-705

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Financial modelling with jump processes

Cont, Rama; Tankov, Peter - 2004

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Testing for mean-variance spanning : a survey

Roon, Frans de; Nijman, Theodore E. - In: Journal of empirical finance 8 (2001) 2, pp. 111-155

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Portfolio Choice with Model Misspecification : A Foundation for Alpha and Beta Portfolios

Uppal, Raman - 2016

-pricing theory and asymptotic analysis (for large number of assets) can be used to provide powerful solutions to mitigate … misspecification. The starting point of our analysis is the Arbitrage Pricing Theory (APT). We extend the APT to show that it can …

Persistent link: https://www.econbiz.de/10013002828