Robust-H[infinity symbol] forecasting and asset pricing anomalies
By: Aaron Tornell.
Contributors: National Bureau of Economic Research.
Series: NBER working paper series -- no. 7753; Working paper series (National Bureau of Economic Research) -- working paper no. 7753.
Publisher: National Bureau of Economic Research
Published: 2000
Place of publication: Cambridge, MA
Language: eng
Number of pages: 50
Subjects: Assets (Accounting) -- Prices -- Forecasting.; Rational expectations (Economic theory); Risk management.; Portfolio management.; Robust statistics.; Information theory in economics.
Other titles: Robust-H forecasting and asset pricing anomalies; Robust-H(infinity) forecasting and asset pricing anomalies
Notes: "June 2000."

JEL no. E44, G12, C61.

Includes bibliographical references (p. 47-50).

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Electronic version available via the Internet at the NBER World Wide Web site.