Portfolio choice under local industry and country factors
This article extends the parametric portfolio policy approach to optimizing portfolios with a large numbers of assets (Brandt et al. 2009). The proposed approach incorporates unobserved effects into the portfolio policy function. These effects measure the importance of unobserved heterogeneity for e...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2010
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/24060
- Acceso en línea:
- https://doi.org/10.1007/s11408-010-0143-9
https://repository.urosario.edu.co/handle/10336/24060
- Palabra clave:
- Industry and country factors
Multifactor asset pricing models
Portfolio choice
- Rights
- License
- Abierto (Texto Completo)