Least median of squares estimation by optimization heuristics with an application to the CAPM and a multi-factor model

Peter Winker, Marianna Lyra and Chris Sharpe ()

Computational Management Science, 2011, vol. 8, issue 1, 103-123

Keywords: Least median of squares; CAPM; Multi-factor model; Differential evolution; Threshold accepting (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10287-009-0103-x (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:comgts:v:8:y:2011:i:1:p:103-123

Ordering information: This journal article can be ordered from
http://www.springer. ... ch/journal/10287/PS2

DOI: 10.1007/s10287-009-0103-x

Access Statistics for this article

Computational Management Science is currently edited by Ruediger Schultz

More articles in Computational Management Science from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().