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Performance evaluation with stochastic discount factors
Farnsworth, Heber K.; Ferson, Wayne E.; Jackson, David; … - 2002
Persistent link: https://www.econbiz.de/10001650680
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Performance Evaluation with Stochastic Discount Factors
Farnsworth, Heber K. - 2002
We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not...
Persistent link: https://www.econbiz.de/10012741557
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Performance Evaluation with Stochastic Discount Factors
Farnsworth, Heber K. - 2010
We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not...
Persistent link: https://www.econbiz.de/10012763058
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Performance Evaluation with Stochastic Discount Factors
Farnsworth, Heber - 2002
We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not...
Persistent link: https://www.econbiz.de/10012469924
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Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Persistent link: https://www.econbiz.de/10001731377
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Spurious regressions in financial economics?
Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy T. - 2002
Persistent link: https://www.econbiz.de/10001695917
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Stochastic discount factor bounds with conditioning information
Ferson, Wayne E.; Siegel, Andrew F. - 2002
Persistent link: https://www.econbiz.de/10001650667
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Conditional performance measurement using portfolio weights : evidence for pension funds
Ferson, Wayne E.; Khang, Kenneth - 2002
Persistent link: https://www.econbiz.de/10001650675
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Weak and semi-strong form stock return predictability, revisited
Ferson, Wayne E.; Heuson, Andrea Jane; Su, Tie - 2004
Persistent link: https://www.econbiz.de/10002188346
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Mimicking portfolios with conditioning information
Ferson, Wayne E.; Siegel, Andrew F.; Xu, Pisun - 2005
Persistent link: https://www.econbiz.de/10002526620