Ramon Trias Fargas 25-27
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
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Mean-Variance Analysis, Background Risks, Estimation Error, Expected Utility, Multi-Period Portfolio Choice
Beta-pricing, Dynamic portfolio strategies, Jensen's alpha, Mean-variance frontiers, Sharpe ratios
beta-pricing, dynamic portfolio strategies, Jensen’s alpha, mean-variance frontiers, sharpe ratios
Biofuels, co-movement, ethanol, oil, structural breaks, threshold regressions
CU-GMM, factor pricing models, forward premium puzzle, generalised empirical likelihood, stochastic discount factor
CU-GMM, Factor Pricing Models, Forward Premium Puzzle, Generalized Empirical Likelihood, Stochastic Discount Factor
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7943.
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CU-GMM, Factor pricing models, Forward premium puzzle, Generalised Empirical Likelihood, Stochastic discount factor
Carry trades, currency crises, efficient method of moments, global games
Asset Pricing, Asymptotic Slopes, Dynamic Portfolio Strategies, GMM, Representing portfolios, Singular Covariance Matrix
File name: DP6566.
Asset Pricing, Dynamic Portfolio Strategies, Representing portfolios, Stochastic Discount Factors
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