Robust Estimation for the Single Index Model Using Pseudodistances

For portfolios with a large number of assets, the single index model allows for expressing the large number of covariances between individual asset returns through a significantly smaller number of parameters. This avoids the constraint of having very large samples to estimate the mean and the covar...

Descripción completa

Detalles Bibliográficos
Autores principales: Toma, Aida, Fulga, Cristinca
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2018
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512881/
https://www.ncbi.nlm.nih.gov/pubmed/33265464
http://dx.doi.org/10.3390/e20050374

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512881/
https://www.ncbi.nlm.nih.gov/pubmed/33265464
http://dx.doi.org/10.3390/e20050374

Ejemplares similares