Listagem FGV EPGE - Ensaios Econômicos por Título "Constructing common-factor portfolios"
Itens para a visualização no momento 1-1 of 1
-
Constructing common-factor portfolios
2012-04-19In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic ...


