说明：as well as a classification of the stocks into industries. For further discussions of the five risk premia mentioned here, see Fama and French (1993) , Connor et al. (2010) , Menchero, Morozov, and Shepard (2008) , Asness et al. (2013) <qq_18822147> 上传 | 大小：410kb
说明：With the exception of the volatility pre- mium, our model is intentionally very similar to that of Fama and French (1992) , which is one of the most-cited papers in finance. The classic paper on the volatility premium ( Ang, Hodrick, Xing, & Zhang, 2 <qq_18822147> 上传 | 大小：285kb
说明：In the last post we performed several steps in downloading and analyzing the fund performance data. We used the Fama French’s 3 factor model to analyze Fidelity Contrafund Fund (FCNTX). In this post we will repeat the same steps without all the expla <qq_18822147> 上传 | 大小：173kb
说明：This paper studies the out-of-sample performance of the data driven
Mean-CVaR portfolio optimization(DDMC) model, in which the historical data
of the stock returns are regarded as the realized returns and used directly in the
mean-CVaR portfolio opti <qq_18822147> 上传 | 大小：941kb
说明：Matrix operations such as matrix inversion, eigenvalue decomposition, singular value decomposition
are ubiquitous in real-world applications. Unfortunately, many of these matrix
operations so time and memory expensive that they are prohibitive when t <qq_18822147> 上传 | 大小：1mb
说明：BAYESIAND ECISION THEORYp rovides formal proceduresw hich utilize information
available prior to sampling, together with the sample information, to construct
estimates which are optimal with respect to the minimization of the
expected loss. This pape <qq_18822147> 上传 | 大小：218kb
