Minimax estimation with random coefficients: Theory and application to stock returns
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Publication:1914889
DOI10.1007/BF00046992zbMath0844.62098OpenAlexW2018967583MaRDI QIDQ1914889
Bernhard Schipp, Markus Brechtmann
Publication date: 9 June 1996
Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf00046992
capital asset pricing modelimproved estimationstock market returnsempirical analysisrandom coefficient regression modelapproximate minimax
Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Minimax procedures in statistical decision theory (62C20)
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