An Appraisal of Single Index Models for Risk Efficient Farm Planning
Author
Abstract
Suggested Citation
DOI: 10.22004/ag.econ.146429
Download full text from publisher
References listed on IDEAS
- William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Zhao Zhao & Olivier Ledoit & Hui Jiang, 2019. "Risk reduction and efficiency increase in large portfolios: leverage and shrinkage," ECON - Working Papers 328, Department of Economics - University of Zurich, revised Jan 2020.
- Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
- Roger P. Bey, 1983. "The Market Model As An Appropriate Description Of The Stochastic Process Generating Security Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(4), pages 275-288, December.
- Heidari , Hassan & Refah-Kahriz, Arash & Hashemi Berenjabadi, Nayyer, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250, August.
- Leon, T. & Liern, V. & Vercher, E., 2002. "Viability of infeasible portfolio selection problems: A fuzzy approach," European Journal of Operational Research, Elsevier, vol. 139(1), pages 178-189, May.
- Hanke, Michael & Stöckl, Sebastian & Weissensteiner, Alex, 2020. "Political event portfolios," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Christian Walter, 2005.
"La gestion indicielle et la théorie des moyennes,"
Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 113-136.
- Christian Walter, 2005. "La gestion indicielle et la théorie des moyennes," Post-Print hal-04529992, HAL.
- Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018.
"Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices,"
Working Paper Series of the Department of Economics, University of Konstanz
2018-07, Department of Economics, University of Konstanz.
- Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2020. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper series 20-03, Rimini Centre for Economic Analysis.
- Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2019. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Papers 1906.05545, arXiv.org.
- Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
- GUORUI BIAN & MICHAEL McALEER & WING-KEUNG WONG, 2013.
"Robust Estimation And Forecasting Of The Capital Asset Pricing Model,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-18.
- Bian, G. & McAleer, M.J. & Wong, W.-K., 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Econometric Institute Research Papers 21722, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2012. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Documentos de Trabajo del ICAE 2012-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," KIER Working Papers 735, Kyoto University, Institute of Economic Research.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2013. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Tinbergen Institute Discussion Papers 13-036/III, Tinbergen Institute.
- Bian, G. & McAleer, M.J. & Wong, W.-K., 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Econometric Institute Research Papers EI 2010-62, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Guorui Bian & Michael McAleer & Wing-Keung Wong, 2010. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Working Papers in Economics 10/66, University of Canterbury, Department of Economics and Finance.
- Durai Sundaramoorthi & Lingxiu Dong, 2024. "Machine learning and optimization based decision-support tool for seed variety selection," Annals of Operations Research, Springer, vol. 341(1), pages 5-39, October.
- D'Arcangelis, Anna Maria & Rotundo, Giulia, 2021. "Herding in mutual funds: A complex network approach," Journal of Business Research, Elsevier, vol. 129(C), pages 679-686.
- Tiberiu Cristian Avramescu, 2008. "Romanian Tourism: A Regional Approach," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
- Fuinhas, José Alberto & Marques, António Cardoso & Nogueira, David Coito, 2014. "Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA [Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach]," MPRA Paper 62092, University Library of Munich, Germany, revised 10 Feb 2015.
- Sharpe, William F, 1991.
"Capital Asset Prices with and without Negative Holdings,"
Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
- Sharpe, William F., 1990. "Capital Asset Prices With and Without Negative Holding," Nobel Prize in Economics documents 1990-3, Nobel Prize Committee.
- repec:ers:journl:v:xxiv:y:2021:i:4:p:370-395 is not listed on IDEAS
- Bao, Te & Diks, Cees & Li, Hao, 2018. "A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction," Economic Modelling, Elsevier, vol. 68(C), pages 611-621.
- Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2005.
"Portfolios of Agricultural Market Advisory Services: How Much Diversification is Enough?,"
Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 37(1), pages 1-14, April.
- Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao, 2005. "Portfolios of Agricultural Market Advisory Services: How Much Diversification Is Enough?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 101-114, April.
- Stark, Brian G. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2003. "Portfolios Of Agricultural Market Advisory Services: How Much Diversification Is Enough?," AgMAS Project Research Reports 14774, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
- Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2004. "Portfolios Of Agricultural Market Advisory Services: How Much Diversification Is Enough?," 2004 Conference, April 19-20, 2004, St. Louis, Missouri 19013, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Francesco Lautizi, 2015. "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper 353, Tor Vergata University, CEIS, revised 07 Aug 2015.
- Anthony D Hall & Stephen E Satchell, 2013.
"The anatomy of portfolio skewness and kurtosis,"
Journal of Asset Management, Palgrave Macmillan, vol. 14(4), pages 228-235, August.
- Anthony D Hall & Stephen E Satchell, 2013. "The anatomy of portfolio skewness and kurtosis," Published Paper Series 2013-7, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Tonci Svilokos, 2016. "Heuristic approach for determining efficient frontier portfolios with more than two assets, the case of ZSE," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 99-115,116-.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:aare92:146429. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aaresea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.