Robust estimation in capital asset pricing model

DOI10.1155/S1173912600000043zbMath1052.62545MaRDI QIDQ1568375

Guorui Bian, Wing-Keung Wong

Publication date: 2000

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/124004

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (5)

On the estimation of cost of capital and its reliability ⋮ Stochastic dominance theory for location-scale family ⋮ Estimating parameters in autoregressive models with asymmetric innovations ⋮ A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction ⋮ Gains from diversification on convex combinations: a majorization and stochastic dominance approach

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