Portfolio performance of linear SDF models : an out-of-sample assessment
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
|
Subject: | Linear asset pricing models | Stochastic discount factor | Portfolio selection | Out-of-sample performance | Portfolio-Management | CAPM | Diskontierung | Discounting | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Kapitalmarkttheorie | Financial economics | Stochastischer Prozess | Stochastic process |
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