Portfolio performance sensitivity for various asset-pricing kernels

DOI10.1016/J.COR.2006.02.019MaRDI QIDQ2384593zbMATH OpenOpenAlexFDO

Authors Mohamed A. Ayadi, Lawrence Kryzanowski

Publication date 10 October 2007

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cor.2006.02.019

zbMATH Keywords

asset-pricing kernelsconditioning informationgeneralized method of momentsmutual fund returnsPerformance measurement

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31)

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Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asset Pricing Specification Errors and Performance Evaluation
• Common Factors in Active and Passive Portfolios
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• Large Sample Properties of Generalized Method of Moments Estimators
• Martingales and arbitrage in multiperiod securities markets
• THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models

Cited in

(4)

• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• scientific article; zbMATH DE number 842101 (Why is no real title available?)
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