Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects

版本 1.0.0.0 (66.5 KB) 作者: Attilio Meucci
"Beta" not just the CAPM, "Beta" not on log-returns
0.0
(0)
1.1K 次下载
更新时间 2011/5/4

查看许可证

To walk through the code and for a thorough description, refer to
A. Meucci, "Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects"

Last version of code and article available at http://symmys.com/node/165

引用格式

Attilio Meucci (2024). Common Misconceptions about “Beta” Hedging, Estimation and Horizon Effects (https://www.mathworks.com/matlabcentral/fileexchange/31310-common-misconceptions-about-beta-hedging-estimation-and-horizon-effects), MATLAB Central File Exchange. 检索来源 .

MATLAB 版本兼容性
创建方式 R2010b
兼容任何版本
平台兼容性
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

SYMMYSBetaPitfalls/

版本 已发布 发行说明
1.0.0.0