Factor risk premiums and invested capital : calculations with stochastic discount factors
Year of publication: |
May 2018
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Authors: | Ang, Andrew ; Hogan, Kedreth C. ; Shores, Sara |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 19.2018, 3, p. 145-155
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Subject: | Pricing kernel | Stochastic discount factor | Factor premium | Factor strategies | Capacity | Theorie | Theory | CAPM | Risikoprämie | Risk premium | Diskontierung | Discounting | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
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