Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Year of publication: |
[2020]
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Authors: | Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Linda |
Publisher: |
Montréal (Québec) : CIREQ, Université de Montréal |
Subject: | capital asset pricing model | CAPM | Arbitrage Pricing Theory | Black | Fama-French factors | meanvariance efficiency | non-normality | weak identification | identification-robust | projection | Fieller | multivariate linear regression | uniform linear hypothesis | exact test | Monte Carlo test | bootstrap | nuisance parameters | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Betafaktor | Beta risk | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
Extent: | 1 Online-Ressource (circa 61 Seiten) Illustrationen |
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Series: | Cahier. - Montréal (Québec) : CIREQ, Université de Montréal, ISSN 0821-4441, ZDB-ID 3046185-6. - Vol. 2020, 15 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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