Positive Portfolio Factors
We use an iterative relocation algorithm to identify factors
|Date of creation:||01 Apr 1998|
|Date of revision:||01 Apr 2008|
|Contact details of provider:|| Web page: http://icf.som.yale.edu/|
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- Connor, Gregory & Korajczyk, Robert A., 1988. "Risk and return in an equilibrium APT : Application of a new test methodology," Journal of Financial Economics, Elsevier, vol. 21(2), pages 255-289, September.
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"Contrarian Investment, Extrapolation, and Risk,"
University of Chicago - George G. Stigler Center for Study of Economy and State
84, Chicago - Center for Study of Economy and State.
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- Elton, Edwin J, et al, 1993. "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, Society for Financial Studies, vol. 6(1), pages 1-22.
- Brown, Stephen J. & Goetzmann, William N., 1997.
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- Lehmann, Bruce N. & Modest, David M., 1988. "The empirical foundations of the arbitrage pricing theory," Journal of Financial Economics, Elsevier, vol. 21(2), pages 213-254, September.
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