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Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - 2003

Persistent link: https://www.econbiz.de/10001832884

Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - 2003

Persistent link: https://www.econbiz.de/10001731377

Stochastic discount factor bounds with conditioning information

Ferson, Wayne E.; Siegel, Andrew F. - In: The review of financial studies 16 (2003) 2, pp. 567-595

Persistent link: https://www.econbiz.de/10001764239

Stochastic discount factor bounds with conditioning information

Ferson, Wayne E.; Siegel, Andrew F. - 2002

Persistent link: https://www.econbiz.de/10001650667

Performance evaluation with stochastic discount factors

Farnsworth, Heber K.; Ferson, Wayne E.; Jackson, David; … - 2002

Persistent link: https://www.econbiz.de/10001650680

Performance measurement with selectivity, market and volatility timing

Ferson, Wayne E.; Mo, Haitao - In: Journal of financial economics 121 (2016) 1, pp. 93-110

Persistent link: https://www.econbiz.de/10011590678

Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance

Ferson, Wayne E. - 2009

Three concepts: stochastic discount factors, multi-beta pricing and mean variance efficiency, are at the core of modern empirical asset pricing. This paper reviews these paradigms and the relations among them, concentrating on conditional asset pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10012767785

Performance evaluation with stochastic discount factors

Farnsworth, Heber K.; Ferson, Wayne E.; Jackson, David; … - In: The journal of business : B 75 (2002) 3, pp. 473-503

Persistent link: https://www.econbiz.de/10001682443

Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance

Ferson, Wayne E. - 2003

Persistent link: https://www.econbiz.de/10012469262

Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance

Ferson, Wayne E. - 2003

Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...

Persistent link: https://www.econbiz.de/10014023859