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  • Search: subject:"portfolio sorting"
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Year of publication
Subject
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Portfolio selection 9 Portfolio-Management 9 CAPM 8 portfolio sorting 8 kernel regression 6 nonparametric estimation 6 partitioning 6 Beta pricing models 4 Beta risk 4 Betafaktor 4 Estimation 4 Nichtparametrische Schätzung 4 Nonparametric estimation 4 Regression analysis 4 Regressionsanalyse 4 Schätzung 4 smoothly-varying coefficients 4 Estimation theory 3 Nichtparametrisches Verfahren 3 Nonparametric statistics 3 Portfolio sorting 3 Schätztheorie 3 Theorie 3 Theory 3 Asset pricing 2 Capital income 2 Factor analysis 2 Faktorenanalyse 2 Fama-MacBeth variance estimator 2 Kapitaleinkommen 2 beta pricing models 2 smoothly varying coefficients 2 1926-2015 1 Aktienmarkt 1 Bootstrap 1 Börsenkurs 1 Cryptocurrency 1 Factor construction methods 1 Factor performance 1 Liquidity 1
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Online availability
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Free 7 Undetermined 5
Type of publication
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Book / Working Paper 7 Article 5
Type of publication (narrower categories)
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Working Paper 7 Article in journal 5 Aufsatz in Zeitschrift 5 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4
Language
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English 12
Author
All
Cattaneo, Matias D. 7 Crump, Richard K. 7 Wang, Weining 6 Fays, Boris 2 Lambert, Marie 2 Andreou, Elena 1 Assamoi, Vincent K. 1 Chang, Shu-Hwa 1 Ekponon, Adelphe 1 Farrell, Max H. 1 Gagliardini, Patrick 1 Ghysels, Eric 1 Guo, Zihan 1 Ho, Tsung-wu 1 Hübner, Georges 1 Papageorgiou, Nicolas A. 1 Rubin, Mirco 1 Schaumburg, Ernst 1
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Published in...
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CEMMAP working papers / Centre for Microdata Methods and Practice 2 cemmap working paper 2 Discussion papers / CEPR 1 Finance research letters 1 International review of economics & finance : IREF 1 Journal of banking & finance 1 Journal of empirical finance 1 Staff Reports 1 Staff reports / Federal Reserve Bank of New York 1 The review of economics and statistics 1
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Source
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ECONIS (ZBW) 9 EconStor 3
Showing 1 - 10 of 12
Cover Image
Are cryptocurrencies priced in the cross-section? : a portfolio approach
Assamoi, Vincent K.; Ekponon, Adelphe; Guo, Zihan - In: Finance research letters 71 (2025), pp. 1-11
Persistent link: https://www.econbiz.de/10015198260
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Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2024
Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their econometric properties in contrast to...
Persistent link: https://www.econbiz.de/10015124982
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Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2024
Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their econometric properties in contrast to...
Persistent link: https://www.econbiz.de/10015123509
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014480362
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014480562
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
Beta-sorted portfolios-portfolios comprised of assets with similar covariation to selected risk factors-are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014330367
Saved in:
Cover Image
Beta-sorted portfolios
Cattaneo, Matias D.; Crump, Richard K.; Wang, Weining - 2023
Beta-sorted portfolios - portfolios comprised of assets with similar covariation to selected risk factors - are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little is known of their statistical properties in contrast to...
Persistent link: https://www.econbiz.de/10014333333
Saved in:
Cover Image
Three common factors
Andreou, Elena; Gagliardini, Patrick; Ghysels, Eric; … - 2022
Persistent link: https://www.econbiz.de/10013184880
Saved in:
Cover Image
Risk optimizations on basis portfolios : the role of sorting
Fays, Boris; Papageorgiou, Nicolas A.; Lambert, Marie - In: Journal of empirical finance 63 (2021), pp. 136-163
Persistent link: https://www.econbiz.de/10013258989
Saved in:
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Factoring characteristics into returns : a clinical study on the SMB and HML portfolio construction methods
Lambert, Marie; Fays, Boris; Hübner, Georges - In: Journal of banking & finance 114 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012489144
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