Linear Factor Models in Finance
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Published By Elsevier

9780750660068

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Estimating a combined linear factor model

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50011-2 ◽

2005 ◽

pp. 210-225 ◽

Cited By ~ 3

Author(s):

Alvin L. Stroyny

Keyword(s):

Factor Model ◽

Linear Factor

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Sharpe style analysis in the MSCI sector portfolios

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50006-9 ◽

2005 ◽

pp. 83-94 ◽

Cited By ~ 3

Author(s):

George A. Christodoulakis

Keyword(s):

Style Analysis

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Estimating UK factor models using the multivariate skew normal distribution

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50003-3 ◽

2005 ◽

pp. 12-29 ◽

Cited By ~ 1

Author(s):

C.J. Adcock

Keyword(s):

Normal Distribution ◽

Factor Models ◽

Skew Normal Distribution ◽

Skew Normal

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Review of literature on multifactor asset pricing models

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50002-1 ◽

2005 ◽

pp. 1-11

Author(s):

Mario Pitsillis

Keyword(s):

Asset Pricing ◽

Review Of Literature ◽

Pricing Models ◽

Asset Pricing Models

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The small noise arbitrage pricing theory and its welfare implications

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50008-2 ◽

2005 ◽

pp. 150-158

Author(s):

Stephen E. Satchell

Keyword(s):

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Small Noise ◽

Pricing Theory ◽

Welfare Implications

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Making covariance-based portfolio risk models sensitive to the rate at which markets reflect new information

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50013-6 ◽

2005 ◽

pp. 249-261 ◽

Cited By ~ 7

Author(s):

Dan diBartolomeo ◽

Sandy Warrick

Keyword(s):

Portfolio Risk ◽

Risk Models ◽

New Information

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Attributing investment risk with a factor analytic model

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50012-4 ◽

2005 ◽

pp. 226-248

Author(s):

T. Wilding

Keyword(s):

Investment Risk ◽

Analytic Model ◽

Factor Analytic Model ◽

Factor Analytic

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Misspecification in the linear pricing model

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50004-5 ◽

2005 ◽

pp. 30-60

Author(s):

Ka-Man Lo

Keyword(s):

Pricing Model

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Index

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50015-x ◽

2005 ◽

pp. 277-282

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Decomposing factor exposure for equity portfolios

Linear Factor Models in Finance ◽

10.1016/b978-075066006-8.50014-8 ◽

2005 ◽

pp. 262-275 ◽

Cited By ~ 1

Author(s):

David Tien ◽

Paul Pfleiderer ◽

Robert Maxim ◽

Terry Marsh

Keyword(s):

Equity Portfolios

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