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Performance Evaluation with Stochastic Discount Factors · Study

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PreprintPerformance Evaluation with Stochastic Discount Factors

Heber K. Farnsworth2002

OA

Preprintgreen2002

Performance Evaluation with Stochastic Discount Factors

Heber K. Farnsworth · Wayne E. Ferson · Steven K. Todd

42 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Risk and Portfolio Optimization

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References

1996Multifactor Explanations of Asset Pricing Anomalies 1996Measuring Fund Strategy and Performance in Changing Economic Conditions 1991The Variation of Economic Risk Premiums 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills 1990Implications of Security Market Data for Models of Dynamic Economies 2017Active Portfolio Management 1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?1996Portfolio Performance Measurement: Theory and Applications

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2019Nonparametric assessment of hedge fund performance 2002Stochastic Discount Factor Bounds with Conditioning Information

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2002Performance Evaluation with Stochastic Discount Factorsreport · 11 shared references 2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performancereport · 10 shared references 2002Performance Evaluation with Stochastic Discount Factorsarticle · 7 shared references 2004Conditional Performance Evaluation, Revisitedbook · 7 shared references 1998Evaluating Mutual Fund Performancepreprint · 7 shared references 1999Asset pricing and portfolio performance: Models, strategy, and performance metricsbook · 6 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations42

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.299394

openalex_workW1575039353

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