Portfolio turnover when IC is time-varying
Zhuanxin Ding, R. Douglas Martin, Chaojun Yang
| Year of publication: |
2020
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|---|---|
| Authors: | Ding, Zhuanxin ; Martin, R. Douglas ; Yang, Chaojun |
| Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 21.2020, 7, p. 609-622
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| Subject: | Turnover | Leverage | Factor model | Conditional mean forecast | Conditional forecast error covariance matrix | Transfer coefficient | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Arbeitsmobilität | Labour mobility | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41260-019-00145-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012421074