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many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which …
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There exists evidence in the performance evaluation literature that mutual funds that are manufactured by large asset management groups with large “fund families” benefit from economies of scale in terms of marketing, distribution and resourcing that accrue from the larger organisation. In...
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