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ENH: Add explicit Shanken corrected in Non-traded factor model

Open bashtage opened this issue 5 years ago • 1 comments

bashtage avatar Nov 01 '20 13:11 bashtage

Hi, just checking if there is already Shanken correction for Traded factors? What would be the difference in the estimator for Traded vs Non-traded factors ?

pinpss avatar Oct 27 '22 10:10 pinpss