Economic tracking portfolios

DOI10.1016/S0304-4076(01)00074-4zbMath0988.91033OpenAlexW3121950046MaRDI QIDQ5952030

Owen A. Lamont

Publication date: 25 February 2002

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00074-4

zbMATH Keywords

forecastingportfolio theoryeconomic newsfactor models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (3)

Cross-sectional dispersion and expected returns ⋮ Idiosyncratic volatility and the expected stock returns for exploring the relationship with panel threshold regression ⋮ Economic tracking portfolios

Cites Work

• Unnamed Item
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Common risk factors in the returns on stocks and bonds
• Econometrics
• Economic tracking portfolios

This page was built for publication: Economic tracking portfolios