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2 questions
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Is Least Median Squares (LMS) regression commonly used in Finance?
Least Median Squares is often argued to give more stable results than does OLS. Whereas in OLS one minimises the mean of squared residuals, in LMS, one instead minimises the median of squared ...
- 801
0
votes
0
answers
765
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what is a reasonable beta in CAPM?
I want to predict expected returns for assets using a CAPM, to calculate unexpected (unpredictable, idiosyncratic, non-systemic) returns in portfolios.
My CAPM estimated on monthly total gross ...
- 229