| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP1678 |
| DP1678 Preferences, Consumption Smoothing, and Risk Premia | |
| Harald Uhlig; Martin Lettau | |
| 发表日期 | 1997-07-07 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper provides evidence on the use of stochastic discount factors in the evaluation of portfolio performance. First, we discuss evaluation in this setting, and relate it to traditional mean-variance analysis. We then use Monte Carlo experiments to examine the small sample properties of generalized method of moment (GMM) estimators. Both size and power properties are characterized for various GMM approaches. Finally, we apply the methodology to Swedish-based mutual funds. We offer an evaluation allowing for passive as well as dynamic strategies. The conditional evaluation indicates that funds may have had superior performance over the sample period. |
| 主题 | Financial Economics |
| 关键词 | Gmm estimators Intersection and spanning tests Mean-variance analysis Mutual funds Small sample properties |
| URL | https://cepr.org/publications/dp1678 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/530808 |
| 推荐引用方式 GB/T 7714 | Harald Uhlig,Martin Lettau. DP1678 Preferences, Consumption Smoothing, and Risk Premia. 1997. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Harald Uhlig]的文章 |
| [Martin Lettau]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Harald Uhlig]的文章 |
| [Martin Lettau]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Harald Uhlig]的文章 |
| [Martin Lettau]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
