Korsaye, Sofonias Alemu; Quaini, Alberto; Trojani, Fabio - 2021 - This version: June 30, 2021
We propose a novel no-arbitrage framework, which exploits convex asset pricing constraints to study investors’ marginal … a SDF’s pricing accuracy and its comovement with systematic risks. Empirically, a minimum variance CAPM–SDF produces a …