Consistent and Efficient Dynamic Portfolio Replication with Many Factors

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

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Consistent and Efficient Dynamic Portfolio Replication with Many Factors. / Stentoft, Lars; Wang, Sha.

In: The Journal of Portfolio Management, Vol. 46, No. 2, 2020, p. 79-91.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review

Vancouver

Stentoft L, Wang S. Consistent and Efficient Dynamic Portfolio Replication with Many Factors. The Journal of Portfolio Management. 2020;46(2):79-91. doi: 10.3905/jpm.2019.1.118

Author

Stentoft, Lars ; Wang, Sha. / Consistent and Efficient Dynamic Portfolio Replication with Many Factors. In: The Journal of Portfolio Management. 2020 ; Vol. 46, No. 2. pp. 79-91.

Bibtex

@article{49c230f9e675455ba4a172b7e51ff89f,

title = "Consistent and Efficient Dynamic Portfolio Replication with Many Factors",

author = "Lars Stentoft and Sha Wang",

year = "2020",

doi = "10.3905/jpm.2019.1.118",

language = "English",

volume = "46",

pages = "79--91",

journal = "The Journal of Portfolio Management",

issn = "0095-4918",

publisher = "Institutional Investor",

number = "2",

}

RIS

TY - JOUR

T1 - Consistent and Efficient Dynamic Portfolio Replication with Many Factors

AU - Stentoft, Lars

AU - Wang, Sha

PY - 2020

Y1 - 2020

U2 - 10.3905/jpm.2019.1.118

DO - 10.3905/jpm.2019.1.118

M3 - Journal article

VL - 46

SP - 79

EP - 91

JO - The Journal of Portfolio Management

JF - The Journal of Portfolio Management

SN - 0095-4918

IS - 2

ER -

Department of Economics and Business Economics

CREATES

CREATES