Evaluating Portfolio Performance with Stochastic Discount Factors

Magnus Dahlquist · Paul Söderlind

87 citations0/0 files storedThe Journal of Business

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Financial Markets and Investment Strategies Financial Reporting and Valuation Research Risk and Portfolio Optimization

Abstract

Abstract Performance evaluation has recently received increased attention. Apart from the obvious interest for investors to evaluate portfolio strategies, this can be traced to at least two distinct developments in the asset-pricing literature.

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1995Multivariate Simultaneous Generalized ARCH 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1994Automatic Lag Selection in Covariance Matrix Estimation 1996Measuring Fund Strategy and Performance in Changing Economic Conditions 1991Implications of Security Market Data for Models of Dynamic Economies 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets 1990Implications of Security Market Data for Models of Dynamic Economies 1996A Cross-Sectional Test of an Investment-Based Asset Pricing Model

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2010Investment Performance Evaluation 2011Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts 2003Conditioning Information and European Bond Fund Performance 2005An examination of alternative CAPM-based models in UK stock returns 2009The coskewness puzzle 2014A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

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