Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model
Author
Abstract
(This abstract was borrowed from another version of this item.)
Suggested Citation
DOI: 10.1007/s10287-009-0103-x
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Peter Winker & Marianna Lyra & Chris Sharpe, 2008. "Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models," Working Papers 006, COMISEF.
References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Kontoghiorghes, Erricos & Van Dijk, Herman K. & Colubi, Ana, 2017. "Econometrics and Statistics," Econometrics and Statistics, Elsevier, vol. 1(C), pages 1-1.
- Manfred Gilli & Dietmar Maringer & Peter Winker, 2008. "Applications of Heuristics in Finance," International Handbooks on Information Systems, in: Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), Handbook on Information Technology in Finance, chapter 26, pages 635-653, Springer.
- Gunter Dueck & Peter Winker, 1992. "New concepts and algorithms for portfolio choice," Applied Stochastic Models and Data Analysis, John Wiley & Sons, vol. 8(3), pages 159-178, September.
- Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
- I. Roko & M. Gilli, 2008.
"Using economic and financial information for stock selection,"
Computational Management Science, Springer, vol. 5(4), pages 317-335, October.
- Ilir Roko & Manfred Gilli, 2006. "Using Economic and Financial Information for Stock Selection," Swiss Finance Institute Research Paper Series 06-21, Swiss Finance Institute.
- Manfred Gilli & Peter Winker, 2008.
"Review of Heuristic Optimization Methods in Econometrics,"
Working Papers
001, COMISEF.
- Manfred GILLI & Peter WINKER, 2008. "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.
- Winker, Peter & Maringer, Dietmar, 2004. "The Hidden Risks of Optimizing Bond Portfolios under VaR," Research Notes 13, Deutsche Bank Research.
- Huseyin Ince, 2006. "Non-Parametric Regression Methods," Computational Management Science, Springer, vol. 3(2), pages 161-174, April.
- Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2001.
"Econometric applications of high-breakdown robust regression techniques,"
Economics Letters, Elsevier, vol. 71(1), pages 1-8, April.
- Zaman, Asad & Rousseeuw, Peter J. & Orhan, Mehmet, 2000. "Econometric applications of high-breakdown robust regression techniques," MPRA Paper 41529, University Library of Munich, Germany.
- Chan, Louis K. C. & Lakonishok, Josef, 1992. "Robust Measurement of Beta Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(2), pages 265-282, June.
- Rousseeuw, Peter J. & Wagner, Joachim, 1994. "Robust regression with a distributed intercept using least median of squares," Computational Statistics & Data Analysis, Elsevier, vol. 17(1), pages 65-76, January.
- Fitzenberger, Bernd & Winker, Peter, 2007.
"Improving the computation of censored quantile regressions,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 88-108, September.
- Fitzenberger, Bernd & Winker, Peter, 1999. "Improving the Computation of Censored Quantile Regressions," Discussion Papers 568, Institut fuer Volkswirtschaftslehre und Statistik, Abteilung fuer Volkswirtschaftslehre.
- Marc G. Genton & Elvezio Ronchetti, 2008. "Robust Prediction of Beta," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 147-161, Springer.
- Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), 2008. "Computational Methods in Financial Engineering," Springer Books, Springer, number 978-3-540-77958-2, April.
- Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2007. "Using differential evolution to improve the accuracy of bank rating systems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 68-87, September.
- Engel, Charles M & Rodrigues, Anthony P, 1993.
"Tests of Mean-Variance Efficiency of International Equity Markets,"
Oxford Economic Papers, Oxford University Press, vol. 45(3), pages 403-421, July.
- Charles Engel & Anthony P. Rodrigues, 1990. "Tests of mean-variance efficiency of international equity markets," Research Working Paper 90-05, Federal Reserve Bank of Kansas City.
- Charles Engel & Anthony P. Rodrigues, 1992. "Tests of mean-variance efficiency of international equity markets," Research Paper 9209, Federal Reserve Bank of New York.
- Yang, Zheng & Tian, Zheng & Yuan, Zixia, 2007. "GSA-based maximum likelihood estimation for threshold vector error correction model," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 109-120, September.
- Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
- 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.
- Peter Winker & Dietmar Maringer, 2009. "The convergence of estimators based on heuristics: theory and application to a GARCH model," Computational Statistics, Springer, vol. 24(3), pages 533-550, August.
- Barreto, Humberto & Maharry, David, 2006. "Least median of squares and regression through the origin," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1391-1397, March.
- Gilli, Manfred & Winker, Peter, 2007. "2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 2-3, September.
- Katja Specht & Peter Winker, 2008. "Portfolio Optimization under VaR Constraints Based on Dynamic Estimates of the Variance-Covariance Matrix," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 73-94, Springer.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Blueschke, D. & Blueschke-Nikolaeva, V. & Savin, I., 2013.
"New insights into optimal control of nonlinear dynamic econometric models: Application of a heuristic approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 821-837.
- D. Blueschke & V. Blueschke-Nikolaeva & Ivan Savin, 2012. "New Insights Into Optimal Control of Nonlinear Dynamic Econometric Models: Application of a Heuristic Approach," Jena Economics Research Papers 2012-008, Friedrich-Schiller-University Jena.
- D. Blueschke & I. Savin, 2017. "No such thing as a perfect hammer: comparing different objective function specifications for optimal control," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 25(2), pages 377-392, June.
- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Huang, Xiaolin & Shi, Lei & Pelckmans, Kristiaan & Suykens, Johan A.K., 2014. "Asymmetric ν-tube support vector regression," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 371-382.
- Massimiliano Giacalone, 2022. "Optimal forecasting accuracy using Lp-norm combination," METRON, Springer;Sapienza Università di Roma, vol. 80(2), pages 187-230, August.
- Björn Fastrich & Peter Winker, 2012.
"Robust portfolio optimization with a hybrid heuristic algorithm,"
Computational Management Science, Springer, vol. 9(1), pages 63-88, February.
- Björn Fastrich & Peter Winker, 2010. "Robust Portfolio Optimization with a Hybrid Heuristic Algorithm," Working Papers 041, COMISEF.
- Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
- Dmitri Blueschke & Ivan Savin, 2015. "No such thing like perfect hammer: comparing different objective function specifications for optimal control," Jena Economics Research Papers 2015-005, Friedrich-Schiller-University Jena.
- Ivan Savin & Dmitri Blueschke, 2013. "Solving nonlinear stochastic optimal control problems using evolutionary heuristic optimization," Jena Economics Research Papers 2013-051, Friedrich-Schiller-University Jena.
- Ivan Savin & Dmitri Blueschke, 2016. "Lost in Translation: Explicitly Solving Nonlinear Stochastic Optimal Control Problems Using the Median Objective Value," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 317-338, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
- Manfred Gilli & Enrico Schumann, 2012.
"Heuristic optimisation in financial modelling,"
Annals of Operations Research, Springer, vol. 193(1), pages 129-158, March.
- Manfred Gilli & Enrico Schumann, 2009. "Heuristic Optimisation in Financial Modelling," Working Papers 007, COMISEF.
- Björn Fastrich & Peter Winker, 2012.
"Robust portfolio optimization with a hybrid heuristic algorithm,"
Computational Management Science, Springer, vol. 9(1), pages 63-88, February.
- Björn Fastrich & Peter Winker, 2010. "Robust Portfolio Optimization with a Hybrid Heuristic Algorithm," Working Papers 041, COMISEF.
- Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
- Gilli, Manfred & Winker, Peter, 2007. "2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 2-3, September.
- Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
- Theodossiou, Alexandra K. & Theodossiou, Panayiotis, 2014. "Stock return outliers and beta estimation: The case of U.S. pharmaceutical companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 153-171.
- Makram El-Shagi, 2011.
"An evolutionary algorithm for the estimation of threshold vector error correction models,"
International Economics and Economic Policy, Springer, vol. 8(4), pages 341-362, December.
- El-Shagi, Makram, 2010. "An Evolutionary Algorithm for the Estimation of Threshold Vector Error Correction Models," IWH Discussion Papers 1/2010, Halle Institute for Economic Research (IWH).
- Omar Gharaibeh & Graham Bornholt & Michael Dempsey, 2014. "Evidence on Industry Cost of Equity Estimators," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 1-15.
- R. Douglas Martin & Daniel Z. Xia, 2022. "Efficient bias robust regression for time series factor models," Journal of Asset Management, Palgrave Macmillan, vol. 23(3), pages 215-234, May.
- Manfred GILLI & Peter WINKER, 2008.
"A review of heuristic optimization methods in econometrics,"
Swiss Finance Institute Research Paper Series
08-12, Swiss Finance Institute.
- Manfred Gilli & Peter Winker, 2008. "Review of Heuristic Optimization Methods in Econometrics," Working Papers 001, COMISEF.
- Garciga, Christian & Verbrugge, Randal, 2021. "Robust covariance matrix estimation and identification of unusual data points: New tools," Research in Economics, Elsevier, vol. 75(2), pages 176-202.
- Haensly, Paul J., 2020. "Risk decomposition, estimation error, and naïve diversification," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Christiane Goodfellow & Dirk Schiereck & Steffen Wippler, 2013. "Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 111-119, April.
- Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
- David Hirshleifer & Danling Jiang, 2010.
"A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(9), pages 3401-3436.
- Hirshleifer, David & Jiang, Danling, 2007. "A Financing-Based Misvaluation Factor and the Cross Section of Expected Returns," MPRA Paper 20636, University Library of Munich, Germany, revised 10 Feb 2010.
- David J. Moore & David McMillan, 2016. "A look at the actual cost of capital of US firms," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1233628-123, December.
- Eun, Cheol & Lee, Kyuseok & Wei, Fengrong, 2023. "Dual role of the country factors in international asset pricing: The local factors and proxies for the global factors," International Review of Financial Analysis, Elsevier, vol. 89(C).
- Lars Hornuf & Paul P. Momtaz & Rachel J. Nam & Ye Yuan, 2023. "Cybercrime on the Ethereum Blockchain," CESifo Working Paper Series 10598, CESifo.
- Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
More about this item
Keywords
Least median of squares; CAPM; Multi-factor model; Differential evolution; Threshold accepting;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:comgts:v:8:y:2011:i:1:p:103-123. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.