Improving Factor Models
| Autor: | Konark Saxena, Mark Grinblatt |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
040101 forestry
Economics and Econometrics 050208 finance Basis (linear algebra) Computer science media_common.quotation_subject Anomaly (natural sciences) 05 social sciences Common sense 04 agricultural and veterinary sciences General Business Management and Accounting Accounting 0502 economics and business Econometrics 0401 agriculture forestry and fisheries Portfolio Finance media_common Statistical Biases Factor analysis |
| Zdroj: | The Journal of Portfolio Management. 44:74-88 |
| ISSN: | 2168-8656 0095-4918 |
| Popis: | Factor-mimicking portfolios typically identify and weight well-diversified basis portfolios. Improving weightings of the basis portfolios so that they are more closely related to the optimal portfolio’s weights enhances the pricing accuracy of parsimonious factor models. In this article, the authors—one of whom was a student of Professor Stephen Ross at the Yale School of Management and later a Ross coauthor—show that this can be achieved with known ex post efficiency criteria, applied with common sense that recognizes when statistical biases are minimal. These alternatives to traditional weightings, such as equal long–short portfolios, help explain the returns of popular anomaly portfolios. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|