Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
收藏NBER1999-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w7162
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资源简介：
Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of this
提供机构：
美国国家经济研究局
创建时间：
1999-06-01
