Time-varying factor models for equity portfolio construction
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/13518470801892194
Reference38 articles.
1. Timing Decisions and the Behavior of Mutual Fund Systematic Risk
2. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
3. An Empirical Investigation of the Possibility of Stochastic Systematic Risk in the Market Model
4. The form of time variation of systematic risk: some Australian evidence
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1. An empirical Bayesian approach to stein-optimal covariance matrix estimation;Journal of Empirical Finance;2014-12
2. Optimal Portfolio Allocation Strategies with Dynamic Factor Models;SSRN Electronic Journal;2009
3. Evidence on Time-Varying Factor Models for Equity Portfolio Construction;Contributions to Economics
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