Evaluating Portfolio Performance with Stochastic Discount Factors
Year of publication: |
1997-05
|
---|---|
Authors: | Dahlquist, Magnus ; Söderlind, Paul |
Institutions: | Economics Institute for Research (SIR), Handelshögskolan i Stockholm |
Subject: | GMM estimators | intersection and spanning tests | mean- variance analysis | mutual funds | small sample properties |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Notes: | Published in Journal of Business, 1999, pages 347-384. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 175 39 pages |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; G23 - Pension Funds; Other Private Financial Institutions |
Source: |
-
Evaluating Portfolio Performance with Stochastic Discount Factors
Dahlquist, Magnus, (1997)
-
Revisiting mutual fund performance evaluation
Angelidis, Timotheos, (2013)
-
Front-running of mutual fund fire-sales
Dyakov, Teodor, (2013)
- More ...
-
Performance and Characteristics of Swedish Mutual Funds
Dahlquist, Magnus, (1999)
-
New Techniques to Extract Market expectations from Financial Instruments
Söderlind, Paul, (1996)
-
Monetary Policy and Bond Option Pricing in an Analytical RBC Model
Söderlind, Paul, (2001)
- More ...