Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf, Olena Melin
| Year of publication: |
2023
|
|---|---|
| Authors: | Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Lynda ; Melin, Olena |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 236.2023, 1, p. 1-19
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| Subject: | Identification-robust inference | Asset pricing | Spanning | Benchmark neutrality | Mimicking portfolios | Missing factors | Portfolio-Management | Portfolio selection | CAPM | Benchmarking | Theorie | Theory | Betafaktor | Beta risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2023.04.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014332237