Market Model, CAPM, and Beta Forecasting

DOI10.1142/9789811202391_0079zbMATH Open1454.91342OpenAlexW3080406225MaRDI QIDQ5139509

Cheng-Few Lee

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0079

zbMATH Keywords

market modelCAPMsystematic risktotal riskmarket betanon-systematic riskaccounting betacomposite forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

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