Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios
Year of publication: |
April 2021
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Authors: | Pesaran, M. Hashem ; Smith, Ron |
Publisher: |
Munich, Germany : CESifo, Center for Economic Studies & Ifo Institute |
Subject: | arbitrage pricing theory | stochastic discount factor | portfolios | factor strength | identification of risk premia | two-pass regressions | Fama-MacBeth | CAPM | Risikoprämie | Risk premium | Portfolio-Management | Portfolio selection | Arbitrage Pricing | Arbitrage pricing | Diskontierung | Discounting | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (circa 27 Seiten) |
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Series: | CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. no. 9001 (2021) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/235371 [Handle] |
Classification: | c38 ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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