Portfolio performance of linear SDF models: an out-of-sample assessment

DOI10.1080/14697688.2018.1429646zbMath1400.91546OpenAlexW2793710489MaRDI QIDQ4554506

Massimo Guidolin, Martín Lozano-Banda, Erwin Hansen

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1429646

zbMATH Keywords

portfolio selectionstochastic discount factorout-of-sample performancelinear asset pricing models

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
• Common risk factors in the returns on stocks and bonds

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