Cross-section without factors : a string model for expected returns
Year of publication: |
2024
|
---|---|
Authors: | Distaso, Walter ; Mele, Antonio ; Vilkov, Grigory |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 6, p. 693-718
|
Subject: | Arbitrage pricing | Big stocks | Correlation premium | Cross-section of returns | Implied correlation | Premium for correlation risk | String models | Korrelation | Correlation | Kapitaleinkommen | Capital income | Theorie | Theory | CAPM | Schätzung | Estimation | Risikoprämie | Risk premium | Portfolio-Management | Portfolio selection | Arbitrage Pricing |
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