dc.creator | Guidolin, Massimo | |
dc.creator | Hansen Silva, Erwin | |
dc.creator | Lozano Banda, Martín | |
dc.date.accessioned | 2019-05-31T15:23:02Z | |
dc.date.available | 2019-05-31T15:23:02Z | |
dc.date.created | 2019-05-31T15:23:02Z | |
dc.date.issued | 2018 | |
dc.identifier | Quantitative Finance, Volumen 18, Issue 8, 2018, Pages 1425-1436 | |
dc.identifier | 14697696 | |
dc.identifier | 14697688 | |
dc.identifier | 10.1080/14697688.2018.1429646 | |
dc.identifier | https://repositorio.uchile.cl/handle/2250/169594 | |
dc.description.abstract | 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 monthly US portfolio returns spanning the period 1968–2016, we find evidence
that multifactor linear models have better empirical properties than the CAPM, not only when the
cross-section of expected returns is evaluated in-sample, but also when they are used to inform onemonth ahead portfolio selection. When we compare portfolios associated to multifactor models with
mean–variance decisions implied by the single-factor CAPM, we document statistically significant
differences in Sharpe ratios of up to 10 percent. Linear multifactor models that provide the best
in-sample fit also yield the highest realized Sharpe ratios. | |
dc.language | en | |
dc.publisher | Routledge | |
dc.rights | http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ | |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Chile | |
dc.source | Quantitative Finance | |
dc.subject | Linear asset pricing models | |
dc.subject | Out-of-sample performance | |
dc.subject | Portfolio selection | |
dc.subject | Stochastic discount factor | |
dc.title | Portfolio performance of linear SDF models: an out-of-sample assessment | |
dc.type | Artículo de revista | |