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转Fama Macbeth,1973的一个很好地说明
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Their approach is meant to test Capital Asset Pricing Model (CAPM).Suppose there are 1,000 stocks with returns data over 100 months.We also have the market portfolio returns over 100 monthsWe want to ...
2013-6-24 20:05 - 何妨一下楼 - 金融工程(数量金融)与金融衍生品