A maximal predictability portfolio using absolute deviation reformulation
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Bibliographic InfoArticle provided by Springer in its journal Computational Management Science.
Volume (Year): 7 (2010)
Issue (Month): 1 (January)
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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.
- Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992.
"Maximizing predictability in the stock and bond markets,"
3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- 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.
- 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.
- 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.
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