Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum correlation approaches by taking into account new methodologies of estimating large-dimensional ...
The estimation of risk factors and their replication through mimicking portfolios are of critical importance for academics and practitioners in finance. We propdoi:10.2139/ssrn.3363598Jurczenko, EmmanuelTeiletche, JeromeSocial Science Electronic Publishing...
(2005). A Critical Investigation of the Explanatory Role of Factor Mimicking Portfolios in Multifactor Asset Pricing Models. Applied Financial Economics, 15, pp.835-847.Asgharian, H., and Hansson, B. (2005), "A Critical Investigation of the Ex- planatory Role of Factor Mimicking Portfolios ...
Hansson, 2005, A critical investigation of the explanatory role of factor mimicking portfolios in equilibrium pricing, Apllied Financial Economics 15, 835-847.Asgharian, Hossein and Bjorn Hansson. 2000. "A critical investigation of the explanatory role of factor mimicking portfolios in multifactor ...
doi:10.2139/ssrn.3411059intertemporal dependencyrisk factorsskewnesskurtosisbootstrapBy assuming that short-run returns are independent and identically distributed, it is straightforward to extrapolate short-run risks to longer horizons. HoweverSocial Science Electronic Publishing...
A machine for displaying factor-based performance attribution (PA) results for a set of historical portfolios using a framework that computes the attribution using a set of factor mimicking portfolios (FMPs). By considering different constraints, universes, and rebalance frequencies for the FMPs, ...