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

Versione 1.0.0.0 (66,5 KB) da Attilio Meucci
"Beta" not just the CAPM, "Beta" not on log-returns
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Aggiornato 4 mag 2011

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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

Cita come

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. Recuperato .

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Versione Pubblicato Note della release
1.0.0.0