Pricing errors and estimates of risk premia in factor models

DOI10.1007/s10436-008-0116-4zbMath1233.91331OpenAlexW2013895906MaRDI QIDQ666460

Matthew Hazledine, Kim R. Sawyer, André F. Gygax

Publication date: 8 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-008-0116-4

zbMATH Keywords

risk premiaarbitrage pricing theorypricing errors

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Some properties of portfolios constructed from principal components of asset returns

Cites Work

• Unnamed Item
• The asymptotic normal distribution of estimators in factor analysis under general conditions
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• A Test of the Efficiency of a Given Portfolio
• Asymptotic arbitrage and the APT with or without measure-theoretic structures.

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