Finding the relevant risk factors for asset pricing

Computational Statistics and Data Analysis

Volumn 47, Issue 2 SPEC. ISS., 2004, Pages 339-352

  Maringer, Dietmar G ^a  

^a UNIVERSITY OF ERFURT   (Germany)

Author keywords

Arbitrage pricing theory (APT); Factor selection; Heuristic optimization; Index model; Model selection

Indexed keywords

EVOLUTIONARY ALGORITHMS; HEURISTIC METHODS; MATHEMATICAL MODELS; OPTIMIZATION; SET THEORY; STATISTICAL METHODS;

ARBITAGE PRICING THEORY (APT); FACTOR SELECTION; HEURISTIC OPTIMIZATION; INDEX MODEL; MODEL SELECTION;

RISK ASSESSMENT;

EID: 4444361251     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2003.11.007     Document Type: Article

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