Diversification and the Optimal Construction of Basis Portfolios

Nontrivial diversification possibilities arise when a factor model describes security returns. This paper catalogs the merits of alternative strategies for constructing basis portfolios to mimic the common factors. We show how to use the X² statistic for the joint significance of mean basis portfoli...

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Veröffentlicht in:	Management Science. - Institute for Operations Research and the Management Sciences, 1954. - 51(2005), 4, Seite 581-598
1. Verfasser:	Lehmann, Bruce N. (VerfasserIn)
Weitere Verfasser:	Modest, David M.
Format:	Online-Aufsatz
Sprache:	English
Veröffentlicht:	2005
Zugriff auf das übergeordnete Werk:	Management Science
Schlagworte:	basis, Fama-MacBeth, mimicking, minimum idiosyncratic risk portfolios principal components maximum likelihood factor analysis approximate factor structure arbitrage pricing theory (APT) diversification cross-sectional regression ordinary and weighted least squares large cross-sections bootstrapping mehr... Economics Mathematics Information science