A forecasting model for stock market diversity

DOI10.1007/s10436-006-0046-yzbMath1233.91321OpenAlexW2048945677MaRDI QIDQ665777

Francesco Audrino, E. Robert Fernholz, Roberto G. Ferretti

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: http://doc.rero.ch/record/320424/files/10436_2006_Article_46.pdf

zbMATH Keywords

diversitymaximum-likelihood estimationdiversity-based portfolio strategiesgeneralized tree-structured threshold models

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Diverse market models of competing Brownian particles with splits and mergers ⋮ On a class of diverse market models ⋮ Information Geometry in Portfolio Theory

Cites Work

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• On the diversity of equity markets
• Tree-structured Generalized Autoregressive Conditional Heteroscedastic Models
• Common risk factors in the returns on stocks and bonds
• Equity portfolios generated by functions of ranked market weights

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