An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market
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Bibliographic InfoArticle provided by Springer in its journal Financial Markets and Portfolio Management.
Volume (Year): 23 (2009)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/link.asp?id=119763
Conditional factor-models; Asset allocation; German stock market; G11; G12; C31; C32; C53;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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