Cross-section without factors : correlation risk, strings and asset prices
Year of publication: |
2021 ; This version: January 13, 2021
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Authors: | Distaso, Walter ; Mele, Antonio ; Vilkov, Grigory |
Publisher: |
Geneva : Swiss Finance Institute |
Subject: | correlation premium | premium for correlation risk | cross-section of returns | big stocks | string models | implied correlation | arbitrage pricing | Korrelation | Correlation | Risikoprämie | Risk premium | CAPM | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Schätzung | Estimation | Risiko | Risk | Theorie | Theory | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (circa 55 Seiten) Illustrationen |
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Series: | Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 20, 119 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.3665181 [DOI] |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G17 - Financial Forecasting |
Source: | ECONIS - Online Catalogue of the ZBW |
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