2015
DOI: 10.2139/ssrn.2557236
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Better Investing Through Factors, Regimes and Sensitivity Analysis

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Cited by 5 publications
(1 citation statement)
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“…From an empirical point of view, [1] proposes to decompose asset returns with respect to the underlying risk factors. More description can be found in [2]. The approach is, in principle, the same as relative pricing of financial derivatives, where the underlying risk factors are taken as primitives, modeled econometrically and the derivatives prices, i.e., the conditional expected discounted future cash flows, are expressed as a functional of them.…”
Section: Introductionmentioning
confidence: 99%
“…From an empirical point of view, [1] proposes to decompose asset returns with respect to the underlying risk factors. More description can be found in [2]. The approach is, in principle, the same as relative pricing of financial derivatives, where the underlying risk factors are taken as primitives, modeled econometrically and the derivatives prices, i.e., the conditional expected discounted future cash flows, are expressed as a functional of them.…”
Section: Introductionmentioning
confidence: 99%