Abstract
The CAPM discussed in Chapter 7 has been providing associated CAPM-like models though most of them are not consistent with the assumptions and framework of the CAPM. Such a model is a time-varying coefficient market model described in Chapter 7. In this chapter, from a viewpoint of portfolio quants, we shall overview some time-varying coefficient models proposed by Rosenberg and related models. We first review some basic concepts in this chapter.
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© 1993 Springer Science+Business Media Dordrecht
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Kariya, T. (1993). B. Rosenberg Models and their Applications. In: Quantitative Methods for Portfolio Analysis. Theory and Decision Library, vol 23. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-1721-0_8
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DOI: https://doi.org/10.1007/978-94-011-1721-0_8
Publisher Name: Springer, Dordrecht
Print ISBN: 978-94-010-4754-8
Online ISBN: 978-94-011-1721-0
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