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|a (DE-627)JST056290101
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|a (JST)20110354
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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|a Lehmann, Bruce N.
|e verfasserin
|4 aut
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|a Diversification and the Optimal Construction of Basis Portfolios
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|c 2005
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
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|a 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 portfolio returns to rank alternative procedures and the bootstrap to perform inferences on the disparity between X² statistics across portfolio formation procedure, estimation method, cross-section size, and number of factors. Our main conclusion is that maximum likelihood factor analysis coupled with minimum idiosyncratic risk portfolio formation yields economically and statistically superior basis portfolios compared with those derived from asymptotic principal components.
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|a Copyright 2005 INFORMS
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|a basis, Fama-MacBeth, mimicking, minimum idiosyncratic risk portfolios
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|a principal components
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|a maximum likelihood factor analysis
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|a approximate factor structure
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|a arbitrage pricing theory (APT)
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|a diversification
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|a cross-sectional regression
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|a ordinary and weighted least squares
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|a large cross-sections
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|a bootstrapping
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Financial portfolios
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650 |
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4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial management
|x Financial risk
|x Nonsystemic risk
|x Idiosyncratic risk
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650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Investment strategies
|x Portfolio diversification
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650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Statistical properties
|x Statistical discrepancies
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650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Analytics
|x Analytical estimating
|x Maximum likelihood estimation
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650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Descriptive statistics
|x Measures of variability
|x Multivariate statistical analysis
|x Factor analysis
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650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Errors in statistics
|x Standard error
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650 |
|
4 |
|a Information science
|x Information analysis
|x Data analysis
|x Regression analysis
|x Linear regression
|x Least squares
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650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial instruments
|x Financial securities
|x Securities management
|x Security portfolios
|
650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Statistical properties
|x Statistical discrepancies
|x Sampling errors
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650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Financial portfolios
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial management
|x Financial risk
|x Nonsystemic risk
|x Idiosyncratic risk
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650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial investments
|x Investment strategies
|x Portfolio diversification
|
650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Statistical properties
|x Statistical discrepancies
|
650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Analytics
|x Analytical estimating
|x Maximum likelihood estimation
|
650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Descriptive statistics
|x Measures of variability
|x Multivariate statistical analysis
|x Factor analysis
|
650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Errors in statistics
|x Standard error
|
650 |
|
4 |
|a Information science
|x Information analysis
|x Data analysis
|x Regression analysis
|x Linear regression
|x Least squares
|
650 |
|
4 |
|a Economics
|x Economic disciplines
|x Financial economics
|x Finance
|x Financial instruments
|x Financial securities
|x Securities management
|x Security portfolios
|
650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical results
|x Statistical properties
|x Statistical discrepancies
|x Sampling errors
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655 |
|
4 |
|a research-article
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1 |
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|a Modest, David M.
|e verfasserin
|4 aut
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773 |
0 |
8 |
|i Enthalten in
|t Management Science
|d Institute for Operations Research and the Management Sciences, 1954
|g 51(2005), 4, Seite 581-598
|w (DE-627)320623602
|w (DE-600)2023019-9
|x 15265501
|7 nnns
|
773 |
1 |
8 |
|g volume:51
|g year:2005
|g number:4
|g pages:581-598
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856 |
4 |
0 |
|u https://www.jstor.org/stable/20110354
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|d 51
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|e 4
|h 581-598
|