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RFM Asset Pricing Model for Investments.
RFM Asset Pricing Model for Investments.
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机译:RFM投资资产定价模型。
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摘要
Asset prices are linear polynomials of four basic factors - asset volumes, index price, index volume and time and hence their returns are rational functions and do not add linearly in a portfolio, especially when the returns are averaged out over multiple time intervals. However, for time series data observed on single time interval basis, returns may be treated as "approximately" linear and modeled directly through multiple regression using the four basic variables mentioned above. As a result the returns obtained from this Rational Function Model (RFM) are more accurate than those obtained from the existing models.
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