Título:

Revisiting Fama-French Factors' Predictability with Bayesian Modelling and Copula-Based Portfolio Optimization

Autores:

Yang Zhao (Central University of Finance and Economics, Beijing)
Charalampos Stasinakis (U Glasgow)
Georgios Sermpinis (U Glasgow)
Filipa Da Silva Fernandes (U Aberdeen)

Revista:

International Journal Of Finance And Economics

Ano:

2019

Volume:

24

Número:

4

Páginas:

1443-1463

Código JEL:

G11 - Portfolio Choice; Investment Decisions