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Factor models have become a common and valued tool for understanding the risks associated with an investing strategy. In this report we describe Exabel's factor model, we quantify the fraction of the variability of the returns explained by the differ
Externí odkaz:
http://arxiv.org/abs/2203.12408
Quantifying both historic and future volatility is key in portfolio risk management. This note presents and compares estimation strategies for volatility estimation in an estimation universe consisting on 28 629 unique companies from February 2010 to
Externí odkaz:
http://arxiv.org/abs/2203.12402
Autor:
Torsvoll Arne, Grotmol Øyvind
Publikováno v:
Journal of Petroleum Technology. 51