haku: @author MacKinlay, A.C. / yhteensä: 2
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| Tekijä: | MacKinlay, A.C. Pástor, L. |
| Otsikko: | Asset pricing models: implications for expected returns and portfolio selection |
| Lehti: | Review of Financial Studies
2000 : WINTER, VOL. 13:4, p. 883-916 |
| Asiasana: | CAPITAL ASSET PRICING PORTFOLIO MANAGEMENT RETURN ON INVESTMENT |
| Kieli: | eng |
| Tiivistelmä: | When a risk factor is missing from an asset pricing model, the resulting mispricing is embedded within the residural covariance matrix. Exploiting this phenomenon leads to expected return estimates that are more stable and precise than estimates delivered by standard methods. Portfolio selection can also be improved. At an extreme, optimal portfolio weights are proportional to expected returns when no factors are observable. |
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