Showing 1 - 10 of 86
In this paper, we analytically derive the expected loss function associated with using sample means and the covariance matrix of returns to estimate the optimal portfolio. Our analytical results show that the standard plug-in approach that replaces the population parameters by their sample...
Persistent link: https://www.econbiz.de/10005407217
In this paper, we construct a new variance bound on any stochastic discount factor (SDF) of the form m = m(x), with x being a vector of state variables, which tightens the well-known Hansen-Jagannathan bound by a ratio of one over the multiple correlation coefficient between x and the standard...
Persistent link: https://www.econbiz.de/10005832619
In this paper, we point out that the widely used stochastic discount factor (SDF) methodology ignores a fully specified model for asset returns. As a result, it suffers from two potential problems when asset returns follow a linear factor model. The first problem is that the risk premium...
Persistent link: https://www.econbiz.de/10005303082
In this paper, we conduct a comprehensive study of tests of mean-variance spanning. We provide both a comparison and a geometrical interpretation of three asymptotic tests (likelihood ratio, Wald, and Lagrange multiplier) of mean-variance spanning under the regression based framework of Huberman...
Persistent link: https://www.econbiz.de/10009653399
In this paper, we conduct a comprehensive study of tests for mean-variance spanning. Under the regression framework of Huberman and Kandel (1987), we provide geometric interpretations not only for the popular likelihood ratio test, but also for two new spanning tests based on the Wald and...
Persistent link: https://www.econbiz.de/10009358969
In this paper, we point out that the widely used stochastic discount factor (SDF) methodology ignores a fully specified model for asset returns. As a result, it suffers from two potential problems when asset returns follow a linear factor model. The first problem is that the risk premium...
Persistent link: https://www.econbiz.de/10009131626
Persistent link: https://www.econbiz.de/10005646549
Spin-dependent electron transport in a periodically stubbed quantum wire in the presence of Rashba spin-orbit interaction (SOI) is studied via the nonequilibrium Green’s function (GF) method combined with the Landauer-Büttiker formalism. By comparing with a straight Rashba quantum wire, the...
Persistent link: https://www.econbiz.de/10010992813
We investigate theoretically the spin-dependent electron transport in a Rashba quantum wire with rough edges. The charge and spin conductances are calculated as function of the electron energy and wire length by adopting the spin-resolved lattice Green function method. For a single disordered...
Persistent link: https://www.econbiz.de/10010593348
Persistent link: https://www.econbiz.de/10009282737