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...

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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
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