Browsing by Subject "Linear asset pricing models"

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    • Portfolio performance of linear SDF models: an out-of-sample assessment 
      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 ...