Factor representing portfolios in large asset markets (Q2439044)

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Factor representing portfolios in large asset markets
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    title
    Factor representing portfolios in large asset markets (English)
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    author
    Enrique Sentana
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    publication date
    7 March 2014
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    Mathematics Subject Classification ID
    91B84
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    91G10
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    62P05
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    62M10
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    zbMATH DE Number
    6266293
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    zbMATH Keywords
    factor models
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    basis portfolios
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    APT
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    intertemporal asset pricing
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    Kalman filter
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