For various reasons, cross-sectional tests of linear factor models have employed the returns on portfolios of assets (as opposed to individual securities). There is a good deal of flexibility in how ...

We consider the problem of testing the presence of alpha in linear factor pricing models. We propose a robust spatial sign-based nonparametric test that simultaneously alleviates two prominent ...

The current financial marketplace has seen the development of increasingly complex products and thus, proper risk management has become a challenging task. Accurate stress testing relies upon models ...

Linear factor models are widely used by risk and portfolio managers to measure and manage the risk in their positions. Only users who have a paid subscription or are part of a corporate subscription ...