共查询到20条相似文献,搜索用时 15 毫秒
1.
Financial Markets and Portfolio Management - I use the simulation approach of Jobson and Korkie (J Portfolio Manag 7:70–74, 1981), combined with Michaud optimization (Michaud and Michaud,... 相似文献
2.
OLS regression ignores both heteroscedasticity and cross-correlations of abnormal returns; therefore, tests of regression coefficients are weak and biased. A Portfolio OLS (POLS) regression accounts for correlations and ensures unbiasedness of tests, but does not improve their power. We propose Portfolio Weighted Least Squares (PWLS) and Portfolio Constant Correlation Model (PCCM) regressions to improve the power. Both utilize the heteroscedasticity of abnormal returns in estimating the coefficients; PWLS ignores the correlations, while PCCM uses intra-and inter-industry correlations. Simulation results show that both lead to more powerful tests of regression coefficients than POLS. 相似文献
3.
Financial Markets and Portfolio Management - 相似文献
4.
Financial Markets and Portfolio Management - 相似文献
5.
Financial Markets and Portfolio Management - 相似文献
6.
Financial Markets and Portfolio Management - 相似文献
7.
《Financial Markets and Portfolio Management》2022,36(2):265-266
Financial Markets and Portfolio Management - 相似文献
8.
《Financial Markets and Portfolio Management》2021,35(2):273-275
Financial Markets and Portfolio Management - 相似文献
9.
Financial Markets and Portfolio Management - 相似文献
10.
Financial Markets and Portfolio Management - 相似文献
11.
Financial Markets and Portfolio Management - 相似文献
12.
Financial Markets and Portfolio Management - 相似文献
13.
《Financial Markets and Portfolio Management》2022,36(3):407-407
Financial Markets and Portfolio Management - 相似文献
14.
Financial Markets and Portfolio Management - 相似文献
15.
Financial Markets and Portfolio Management - 相似文献
16.
Financial Markets and Portfolio Management - 相似文献
17.
Matthew F. Dixon,Igor Halperin,and Paul Bilokon: Machine learning in finance from theory to practice
Financial Markets and Portfolio Management - 相似文献
18.
Financial Markets and Portfolio Management - 相似文献
19.
Financial Markets and Portfolio Management - 相似文献
20.
Financial Markets and Portfolio Management - 相似文献