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111
Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the
CAPM
Ni, Xiaohui
;
Malevergne, Yannick
;
Sornette, Didier
; …
-
2011
.
CAPM
, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
Saved in:
112
Asset returns, the business cycle, and the labor market : a sensitivity analysis for the German economy
Heer, Burkhard
;
Maußner, Alfred
-
2011
premium is very sensitive with regard to the utility parameters. -- equity premium ; production
CAPM
; real-business cycle …
Persistent link: https://www.econbiz.de/10009011127
Saved in:
113
Testing
CAPM
with a large number of assets
Pesaran, M. Hashem
;
Yamagata, Takashi
-
2012
Persistent link: https://www.econbiz.de/10009580154
Saved in:
114
The predictability of industry portfolio returns
Li, Yuming
;
Lu, Weili
;
Zhong, Maosen
- In:
Applied economics
43
(
2011
)
22/24
,
pp. 2865-2881
Persistent link: https://www.econbiz.de/10009356666
Saved in:
115
Size and value premium in international portfolios : evidence from 15 European countries
Mirza, Nawazish
;
Afzal, Ayesha
- In:
Finance a úvěr
61
(
2011
)
2
,
pp. 173-190
Persistent link: https://www.econbiz.de/10009373933
Saved in:
116
Consumption, money and excess returns
Schmeling, Maik
- In:
Applied economics
43
(
2011
)
19/21
,
pp. 2559-2563
Persistent link: https://www.econbiz.de/10009379690
Saved in:
117
Testing the
CAPM
across observed and fundamental returns
Berger, Dave
- In:
Applied financial economics
21
(
2011
)
7/9
,
pp. 625-636
Persistent link: https://www.econbiz.de/10009153240
Saved in:
118
Time-varying stock returns and labor income risks in the US and UK
Li, Yuming
- In:
The European journal of finance
17
(
2011
)
3/4
,
pp. 321-336
Persistent link: https://www.econbiz.de/10009155399
Saved in:
119
The high volume return premium : cross-country evidence
Kaniel, Ron
;
Ozoguz, Arzu
;
Starks, Laura T.
- In:
Journal of financial economics
103
(
2012
)
2
,
pp. 255-279
Persistent link: https://www.econbiz.de/10009501397
Saved in:
120
Cash holdings, risk, and expected returns
Palazzo, Berardino
- In:
Journal of financial economics
104
(
2012
)
1
,
pp. 162-185
Persistent link: https://www.econbiz.de/10009550141
Saved in:
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