Finding the relevant risk factors for asset pricing

DOI10.1016/j.csda.2003.11.007zbMath1429.62475OpenAlexW2017727042MaRDI QIDQ957015

Dietmar G. Maringer

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2003.11.007

zbMATH Keywords

model selectionheuristic optimizationindex modelfactor selectionarbitrage pricing theory (APT)

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59)

Related Items (4)

Dynamic risk exposures in hedge funds ⋮ Heuristic optimisation in financial modelling ⋮ Estimating all possible SUR models with permuted exogenous data matrices derived from a VAR process ⋮ Applications of optimization heuristics to estimation and modelling problems

Cites Work

• Optimization by Simulated Annealing
• Estimating the dimension of a model
• Memory and infrequent breaks
• A new look at the statistical model identification
• Unnamed Item

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