A maximal predictability portfolio using absolute deviation reformulation
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Computational Management Science.
Volume (Year): 7 (2010)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=111894
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Andrew W. Lo & Jiang Wang, 2006.
"Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model,"
Journal of Finance,
American Finance Association, vol. 61(6), pages 2805-2840, December.
- Andrew W. Lo & Jiang Wang, 2001. "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers 8565, National Bureau of Economic Research, Inc.
- Andrew W. Lo & A. Craig MacKinlay, 1995.
"Maximizing Predictability in the Stock and Bond Markets,"
NBER Working Papers
5027, National Bureau of Economic Research, Inc.
- Lo, Andrew W. & Mackinlay, A. Craig, 1997. "Maximizing Predictability In The Stock And Bond Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 102-134, January.
- Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992. "Maximizing predictability in the stock and bond markets," Working papers 3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.