Allan Rosenberg

State Steet Global Exchange

Senior Quantitative Analyst

255 California Street

Suite 1201

San Francisco, CA 94105

United States

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Scholarly Papers (1)

1.

The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk

Journal of Portfolio Management, Forthcoming, https://doi.org/10.3905/jpm.2017.43.5.147
Posted: 26 Jun 2016 Last Revised: 22 May 2019
Stephen Bianchi, Lisa R. Goldberg and Allan Rosenberg
University of California, Berkeley, University of California, Berkeley and State Steet Global Exchange

Abstract:

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estimation error, latent factor model, simulation, minimum variance portfolio, equally weighted portfolio, underforecast