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...
Scenario DesignMulti-country large Bayesian VARsFactor mimicking portfoliosEntropy poolingCOVID-19The goal of this paper is to provide a new empirical approach to ScenarioDesign for selecting a stress scenario on international Macro-Financial variables.Social Science Electronic Publishing...
Our holdings-based and factor-mimicking portfolio analyses provide insights into the behavior of carry strategies across various asset classes. This approach can help investors build better carry portfolios by anticipating the payoff in different economic scenarios....
factor-mimicking portfoliosI compare the explanatory power of equity multifactor models (in which all the factors represent excess stock returns) with ICAPM/macro models (which contain faMaio, Paulo FSocial Science Electronic PublishingMaio, P. "Comparing Asset Pricing Models with Traded and Macro ...