Browsing by Author "Lozano Banda, Martín"
Now showing items 1-1 of 1
-
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 ...