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Reassessing the evidence on factor and portfolio premia - MaRDI portal

Reassessing the evidence on factor and portfolio premia

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Publication:6636978

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DOI10.1515/strm-2023-0018MaRDI QIDQ6636978

Jan Antell, Agnieszka Jach

Publication date: 12 November 2024

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

zbMATH Keywords

growth rate factor subsampling premium log-returns Fama-French

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Portfolio theory (91G10)

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