Common Factors in Active and Passive Portfolios

Edwin J. Elton, Martin J. Gruber and Christopher R. Blake
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Edwin J. Elton: New York University, USA
Martin J. Gruber: New York University, USA
Christopher R. Blake: Fordham University, USA

Chapter 14 in Investments and Portfolio Performance, 2010, pp 279-304 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:SampleAnalysisTHE BASE MODELA FIFTH INDEXESTIMATING THE EFFECT OF COMMON HOLDINGSIS IT COMMON HOLDINGS OR A SYSTEMATIC FACTOR?IS THE ADDITION OF MGO ENOUGH?Test on Passive PortfoliosConclusionAcknowledgementsReferences

Keywords: Investments; Portfolio Management; Bond Pricing; Pension Funds; Estimating Taxes (search for similar items in EconPapers)
Date: 2010
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