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In this paper we analyze the optimal contract for a portfolio manager who can exert effort to improve the quality of a private signal about future market prices. We assume complete markets over states distinguished by asset payoffs and place no restrictions on the form of the contract. We show...
Persistent link: https://www.econbiz.de/10008553435
Persistent link: https://www.econbiz.de/10005447321
This article shows how to evaluate the performance of managed portfolios using stochastic discount factors (SDFs) from continuous-time term structure models. These models imply empirical factors that include time averages of the underlying state variables. The approach addresses a performance...
Persistent link: https://www.econbiz.de/10005447340
We develop asset pricing models' implications for portfolio efficiency with conditioning information in the form of lagged instruments. A model identifies a portfolio that should be minimum-variance efficient with respect to the conditioning information. Our framework refines tests of portfolio...
Persistent link: https://www.econbiz.de/10004995160
Hansen and Jagannathan (1991) (hereafter HJ) derive restrictions on the volatility of stochastic discount factors that price a given set of returns. This article studies the sampling properties of HJ bounds that use conditioning information. One approach is to multiply the returns by the lagged...
Persistent link: https://www.econbiz.de/10005569905