Mimicking portfolios have long been useful in asset pricing research. In most empirical applications, the portfolio weights are assumed to be fixed over time, while in theory they may be functions of the economic state. This paper derives and characterizes mimicking portfolios in the presence of ...
a我的英文都忘了,我会再努力学的,尽量能跟你沟通 My English has all forgotten, I can again diligently study, can communicate as far as possible with you[translate] athe returns to a market portfolio of stocks and mimicking portfolios for size 回归到股票和仿造股份单市场股份单为大小[translate]...
6. Covers universal portfolio stochastic portfolio theory and the numéraire portfolio [O] . Christa Cuchiero, Walter Schachermayer, Ting‐Kam Leonard Wong -1 机译:涵盖通用投资组合随机投资组合理论和数字投资组合 7. `To Have What They are Having': Portfolio Choice for Mimicking Mean-Variance ...
We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor-mimicking portfolios to build climate risk hedge portfolios. The new mimicking portfolio app...
Ft represents the factor mimicking portfolio in period t, whererepresents the weights allocating to each security at period t. Remark1:The X matrix is given by economic factors代写 Remark 2:Some practitioners create factors without conducting the second stage of the FM method. Specifically, they ...
We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members. Penalizing norm constraints are already applied for statistical improvement of Markowitz portfolio procedure ...
Access Nature and 54 other Nature Portfolio journals Get Nature+, our best-value online-access subscription 24,99 € / 30 days cancel any time Learn more Subscription info for Chinese customers We have a dedicated website for our Chinese customers. Please go to naturechina.com to subscri...
Access Nature and 54 other Nature Portfolio journals Get Nature+, our best-value online-access subscription 24,99 € / 30 days cancel any time Learn more Subscribe to this journal Receive 12 digital issues and online access to articles 111,21 € per year only 9,27 € per issue Lea...
The current research portfolio in the Noy group centers on nanofluidics, molecular transport, and precision separations in highly-confined 1D and 2D pore channels. Zhongwu Li is currently a postdoctoral researcher at Lawrence Livermore National Laboratory. He received B.E. in Mechanical Engineering ...
Add to portfolio Responses Submit a response No responses published Citing articles Load citing article information Citing articles via Web of Science Citing articles via Scopus Citing articles via Google Scholar Google Scholar Articles by Murphy, C. Articles by Varma, A. Search for related content...