Showing 1 - 3 of 3
In this article, the authors measure the impact of estimation error on latent factor model forecasts of portfolio risk and factor exposures. In markets simulated with a Gaussian return generating process, the authors measure errors in forecasts for equally weighted and long-only minimum variance...
Persistent link: https://www.econbiz.de/10012903199
Persistent link: https://www.econbiz.de/10011686352
Persistent link: https://www.econbiz.de/10010388909