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Results tagged with factor-models
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user 24413
Econometric model that have the purpose to measure the effect of different risk measures on portfolio asset returns.
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What is special about covariance estimation from statistical factor models?
If you were to compare the usual sample covariance estimate to a robust covariance estimate (such as MCD), you can say that the robust estimate is more tolerant to outliers in the data and will not be …
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