Factor risk premiums and invested capital : calculations with stochastic discount factors
Andrew Ang, Ked Hogan, Sara Shores
| Year of publication: |
May 2018
|
|---|---|
| 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
|
| Subject: | Pricing kernel | Stochastic discount factor | Factor premium | Factor strategies | Capacity | Risikoprämie | Risk premium | Theorie | Theory | Diskontierung | Discounting | CAPM | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-017-0069-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011847731