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When Factors Don't Span Their Basis Portfolios
Grinblatt, Mark - 2019
To price assets with a parsimonious set of factor mimicking portfolios, one typically identifies and weights well-diversified basis portfolios. Traditional weightings lead to factor mimicking portfolios that are unlikely to price even the basis portfolios they are formed from. We offer a method...
Persistent link: https://www.econbiz.de/10012903275
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On the choice of covariance specifications for portfolio selection problems
Ferreira, Alexandre R.; Santos, André A. P. - In: Brazilian review of econometrics : BRE ; the review of … 37 (2017) 1, pp. 89-122
Persistent link: https://www.econbiz.de/10011860512
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Estimating the beta-return relationship by considering the sign and the magnitude of daily returns
Ben Sita, Bernard - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 28-35
Persistent link: https://www.econbiz.de/10012034395
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Mispricing, returns and the quest for parsimony
Rudkin, Wanling - In: Finance research letters 37 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012484942
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A literature review of new methods in empirical asset pricing : omitted-variable and errors-in-variable bias
Collot, Solène; Hemauer, Tobias - In: Financial markets and portfolio management 35 (2021) 1, pp. 77-100
Persistent link: https://www.econbiz.de/10012495901
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The impact of estimation error on latent factor model forecasts of portfolio risk
Bianchi, Stephen W.; Goldberg, Lisa; Rosenberg, Allan - In: The journal of portfolio management : a publication of … 43 (2017) 5, pp. 147-156
Persistent link: https://www.econbiz.de/10011686352
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The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk
Bianchi, Stephen - 2019
In this article, the authors measure the impact of estimation error on latent factor model forecasts of portfolio risk … find that an estimation period of 250 days may be adequate to accurately forecast risk and factor exposures for an equally … an estimation period of 1000 days. This underscores the importance of testing risk models on optimized portfolios …
Persistent link: https://www.econbiz.de/10012903199
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Large covariance estimation using a factor model with common and group-specific factors
Shi, Yafeng; Ai, Chunrong; Shi, Yanlong; Ying, Tingting; … - In: Journal of forecasting 42 (2023) 8, pp. 2217-2248
Persistent link: https://www.econbiz.de/10014432877
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New methods for testing, prediction, and estimation with applications to finance
Hediger, Simon - 2023
Persistent link: https://www.econbiz.de/10014282051
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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