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Beyond CAPM: an innovative factor model to optimize the risk and return trade-off

Andriotto, Mauro; Teti, Emanuele - In: Journal of business economics and management 15 (2014) 4, pp. 615-630

Persistent link: https://www.econbiz.de/10010415337

Pollard, Julia; Sherwood, Matthew W.; Klobus, Ryan Grad - In: Journal of investment management : JOIM 16 (2018) 1, pp. 32-43

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FC approach in portfolio selection of Tehran's stock market

Shadkam, Elham - In: Journal of Asian finance, economics and business : JAFEB 1 (2014) 2, pp. 31-37

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Revisiting equity premium puzzles in a data-rich environment

Douch, Mohamed; Bouaddi, Mohammed - In: Applied economics quarterly 65 (2019) 4, pp. 257-275

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Identification of the linear factor model

Williams, Benjamin D. - In: Econometric reviews 39 (2020) 1, pp. 92-109

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Estimating High Dimensional Covariance Matrices and its Applications

Bai, Jushan; Shi, Shuzhong - In: Annals of Economics and Finance 12 (2011) 2, pp. 199-215

Estimating covariance matrices is an important part of portfolio selection, risk management, and asset pricing. This paper reviews the recent development in estimating high dimensional covariance matrices, where the number of variables can be greater than the number of observations. The...

Persistent link: https://www.econbiz.de/10009278162