Factor investing for the long run
From MaRDI portal
Publication:2661656
DOI10.1016/j.jedc.2020.103960OpenAlexW3022676160MaRDI QIDQ2661656
Publication date: 7 April 2021
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103960
stochastic volatilitydynamic asset allocationportfolio choicereturn predictabilityfactor investingmarket anomalies
Cites Work
- Unnamed Item
- Large Sample Properties of Generalized Method of Moments Estimators
- Optimum consumption and portfolio rules in a continuous-time model
- Asset allocation under multivariate regime switching
- Strategic asset allocation
- Hedging recessions
- The instantaneous capital market line
- Which Factors?*
- Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
- An Out-of-Sample Evaluation of Dynamic Portfolio Strategies
- Investing in Disappearing Anomalies
- Factor Models of Stock Returns: GARCH Errors versus Time‐Varying Betas
- Spurious Inference in Reduced-Rank Asset-Pricing Models
- Common risk factors in the returns on stocks and bonds
This page was built for publication: Factor investing for the long run