In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models
Raymond Kan, Xiaolu Wang, Xinghua Zheng
| Year of publication: |
2024
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|---|---|
| Authors: | Kan, Raymond ; Wang, Xiaolu ; Zheng, Xinghua |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 1460384-6. - Vol. 155.2024, Art.-No. 103837, p. 1-21
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| Subject: | Asset pricing model | Sharpe ratio | Estimation risk | Model comparison | Exact and asymptotic distributions | Stochastic representation | CAPM | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Kapitalmarkttheorie | Financial economics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2024.103837 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015072280