Browsing by Author "ac968812-6061-4ac7-a315-bb5e1937f41f"
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Guidolin, Massimo; Hansen Silva, Erwin; Lozano Banda, Martín (Routledge, 2018)We evaluate linear stochastic discount factor models using an ex-post portfolio metric: the realized out-of-sample Sharpe ratio of mean–variance portfolios backed by alternative linear factor models. Using a sample of ...