Portfolio performance of linear SDF models : an out-of-sample assessment
Massimo Guidolin, Erwin Hansen and Martín Lozano-Banda
| Year of publication: |
August 2018
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|---|---|
| Authors: | Guidolin, Massimo ; Hansen, Erwin ; Lozano-Banda, Martín |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 8, p. 1425-1436
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| Subject: | Linear asset pricing models | Stochastic discount factor | Portfolio selection | Out-of-sample performance | Theorie | Theory | Portfolio-Management | CAPM | Diskontierung | Discounting | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1429646 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011911550