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Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities
Cuong Le Van / Nguyen Manh-Hung / Thai Ha-Huy
financial economicsResource overview

Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities

Paper2016

by Cuong Le Van, Nguyen Manh-Hung, Thai Ha-Huy

Tags
financial economics

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  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

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  1. Factor construction

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  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

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