Search Results - subject:"Approximate factor structure"

A simple realized factor-based portfolio : improving minimum variance portfolio performance by incorporating low-frequency betas

Lu, Wanbo; Wang, Yifu - In: Quantitative finance 25 (2025) 8, pp. 1315-1332

Persistent link: https://www.econbiz.de/10015534194

Robust inference for diffusion-index forecasts with cross-sectionally dependent data

Kim, Min Seong - 2021

Persistent link: https://www.econbiz.de/10012593573

Robust inference for diffusion-index forecasts with cross-sectionally dependent data

Kim, Min Seong - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1153-1167

Persistent link: https://www.econbiz.de/10013539471

Diversification and the Optimal Construction of Basis Portfolios

Lehmann, Bruce N.; Modest, David M. - In: Management Science 51 (2005) 4, pp. 581-598

Nontrivial diversification possibilities arise when a factor model describes security returns. This paper catalogs the merits of alternative strategies for constructing basis portfolios to mimic the common factors. We show how to use the \chi <sup>2</sup> statistic for the joint significance of mean basis...

Persistent link: https://www.econbiz.de/10009197916

Approximate factor structures, macroeconomic and financial factors, unique and stable return generating processes and market anomalies: An empirical investigation of the robustness of the arbitrage pricing theory

Priestley, R - 1994

stocks follow an approximate factor structure and tests of the APT are sensitive to the specified form of the return … generating process. We provide an efficient estimation methodology for the case when stocks follow an approximate factor … structure. The second issue we raise is that of the appropriate factors, the role of the market portfolio and the performance of …

Persistent link: https://www.econbiz.de/10009465549

Arbitrage Pricing, Factor Structure, Eigenvectors and all Thatâ€”An Exposition

Luedecke, Bernd P. - In: Australian Journal of Management 11 (1986) 1, pp. 67-85

This paper re-presents the essentials of Ross' (1976) derivation of his Arbitrage Pricing Theory (APT) and explains the empirical implications of recent extensions to the APT due to Chamberlain & Rothschild (1983). The natural statistical methodology for empirically testing Ross' for Mulation is...

Persistent link: https://www.econbiz.de/10010769500