题 目：Statistical Inference Using Maximum Correlation Portfolios

报告人：Robert L. Kimmel, National University of Singapore and EDHEC Business School

时 间：2012年11月13日（周二）10:00-11:30

地 点：成人直播新楼216室

Abstract:We examine econometric issues in a formulation of linear factor models where the factorsare replaced by their projections on the span of excess returns. Besides providing newasymptotic results, we derive the exact distribution and moments of the estimates of riskpremia on maximum-correlation portfolios and related test statistics. A new model selectiontest statistic is also derived.