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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

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

The factor structure of mutual fund flows

Ferson, Wayne E. - In: International Journal of Portfolio Analysis and Management 1 (2012) 2, pp. 112-143

Persistent link: https://www.econbiz.de/10009765947

Ruminations on investment performance measurement

Ferson, Wayne E. - In: European financial management : the journal of the … 19 (2013) 1, pp. 4-13

Persistent link: https://www.econbiz.de/10009706279

Investment performance : a review and synthesis

Ferson, Wayne E. - 2013

Persistent link: https://www.econbiz.de/10009696032

Investment performance evaluation

Ferson, Wayne E. - In: Annual review of financial economics 2 (2010), pp. 207-234

Persistent link: https://www.econbiz.de/10008797821

The alpha factor asset pricing model : a parable

Ferson, Wayne E.; Sarkissian, Sergei; Simin, Timothy T. - In: Journal of financial markets 2 (1999) 1, pp. 49-68

Persistent link: https://www.econbiz.de/10001426670

Sources of risk and expected returns in global equity markets

Ferson, Wayne E.; Harvey, Campbell R. - 1994

Persistent link: https://www.econbiz.de/10000881184

General tests of latent variable models and mean-variance spanning

Ferson, Wayne E. - In: The journal of finance : the journal of the American … 48 (1993) 1, pp. 131-156

Persistent link: https://www.econbiz.de/10001141547

The efficient use of conditioning information in portfolios

Ferson, Wayne E.; Siegel, Andrew F. - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 967-982

Persistent link: https://www.econbiz.de/10001593015