Optimal cross-sectional regression

Zhipeng Liao, Yan Liu, Zhenzhen Xie

Year of publication:	2024
Authors:	Liao, Zhipeng ; Liu, Yan ; Xie, Zhenzhen
Published in:	Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 70.2024, 11, p. 7911-7942
Subject:	beta uncertainty \| efficient estimation \| errors in variables \| factor models \| Fama–MacBeth \| GMM \| idiosyncratic risk \| systematic risk \| two-pass regression \| Risiko \| Risk \| CAPM \| Schätztheorie \| Estimation theory \| Regressionsanalyse \| Regression analysis \| Betafaktor \| Beta risk \| Schätzung \| Estimation \| Kapitaleinkommen \| Capital income \| Momentenmethode \| Method of moments \| Portfolio-Management \| Portfolio selection \| Faktorenanalyse \| Factor analysis

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1287/mnsc.2023.4966 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015145017