Choosing factors: the international evidence
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Grobys, K., & Kolari, J. W.
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Grobys, Klaus||Kolari, James W
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Asset Pricing Models
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International Equity Markets
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Maximum Squared Sharpe Ratio
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Risk Factors
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Spanning Regressions
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http://dx.doi.org/10.1080/00036846.2021.1967865