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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2018
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| 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 |