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Nonparametric stochastic discount factor decomposition and pricing of long-term derivative securities
(2012-12)
Trabalho apresentado por Timothy Christensen - Yale University no contexto do evento "Asset Pricing and Portfolio Allocation in the Long Run". Mais informações em: http://epge.fgv.br/conferencias/longrun/index.php
Estimating the stochastic discount factor without a utility function
(Escola de Pós-Graduação em Economia da FGV, 2005-03-14)
Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin ...
Portfolio performance of linear SDF models: an out-of-sample assessment
(Routledge, 2018)
We evaluate linear stochastic discount factor models using an ex-post portfolio metric: the realized
out-of-sample Sharpe ratio of mean–variance portfolios backed by alternative linear factor models.
Using a sample of ...
Assessing misspecified asset pricing models with empirical likelihood estimators
(Elsevier Science Sa, 2012-10)
Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum ...
Tests of asset pricing with time-varying factor loads
(John Wiley & Sons Ltd, 2019-01)
This paper proposes an empirical asset pricing test based on the homogeneity of the factor risk premia across risky assets. Factor loadings are considered to be dynamic and estimated from data at higher frequencies. The ...
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds
(Sociedade Brasileira de Econometria, 2017)
An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds
(2016-03-21)
The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente ...
An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
(Sociedade Brasileira de Econometria, 2017-05-25)
The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ...
Applications of nonlinear stochastic discount factors in performance analysis and tail risk
(2018-04-12)
We propose a new class of performance measures for Hedge Fund (HF) returns based on a family of empirically identi able stochastic discount factors (SDFs). These SDF-based measures incorporate no-arbitrage pricing restrictions ...