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INTERNATIONAL RISK SHARING IS...
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CAPM
Theorie
189
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189
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92
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91
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80
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80
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74
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73
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Cochrane, John H.
52
Santa-Clara, Pedro
17
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10
Brandt, Michael W.
9
Hansen, Lars Peter
5
Valkanov, Rossen I.
5
Ghysels, Eric
4
Longstaff, Francis A.
4
Chapman, David A.
3
Saá-Requejo, Jesús
3
Valkanov, Rossen
3
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2
Maio, Paulo
2
Saa-Requejo, Jesus
2
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ECONIS (ZBW)
70
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Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
-
2004
Persistent link: https://www.econbiz.de/10002499370
Saved in:
2
Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.
;
Santa-Clara, Pedro
;
Valkanov, Rossen I.
- In:
The review of financial studies
22
(
2009
)
9
,
pp. 3411-3447
Persistent link: https://www.econbiz.de/10003885704
Saved in:
3
Parametric Portfolio Policies : Exploiting Characteristics in the Cross Section of Equity Returns
Brandt, Michael W.
-
2004
We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return...
Persistent link: https://www.econbiz.de/10012467691
Saved in:
4
Parametric Portfolio Policies : Exploiting Characteristics in the Cross-Section of Equity Returns
Brandt, Michael W.
-
2010
We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return...
Persistent link: https://www.econbiz.de/10013151008
Saved in:
5
Two trees : asset price dynamics induced by market clearing
Cochrane, John H.
;
Longstaff, Francis A.
;
Santa-Clara, Pedro
-
2003
Persistent link: https://www.econbiz.de/10001852332
Saved in:
6
Two trees
Cochrane, John H.
;
Longstaff, Francis A.
;
Santa-Clara, Pedro
- In:
The review of financial studies
21
(
2008
)
1
,
pp. 347-385
Persistent link: https://www.econbiz.de/10003716171
Saved in:
7
Two Trees : Asset Price Dynamics Induced by Market Clearing
Cochrane, John H.
-
2010
If stocks go up, investors may want to rebalance their portfolios. But investors cannot all rebalance. Expected returns may need to change so that the average investor is still happy to hold the market portfolio despite its changed composition. In this way, simple market clearing can give rise...
Persistent link: https://www.econbiz.de/10012762707
Saved in:
8
Two Trees : Asset Price Dynamics Induced by Market Clearing
Cochrane, John H.
-
2003
If stocks go up, investors may want to rebalance their portfolios. But investors cannot all rebalance. Expected returns may need to change so that the average investor is still happy to hold the market portfolio despite its changed composition. In this way, simple market clearing can give rise...
Persistent link: https://www.econbiz.de/10012468578
Saved in:
9
A cross-sectional test of a production-based asset pricing model
Cochrane, John H.
-
1992
Persistent link: https://www.econbiz.de/10000136635
Saved in:
10
Production based asset pricing
Cochrane, John H.
-
1988
Persistent link: https://www.econbiz.de/10000758088
Saved in:
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