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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4360, National Bureau of Economic Research, Inc.
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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.
- Shanken, Jay, 1992. "On the Estimation of Beta-Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 5(1), pages 1-33.
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