| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6590 |
| DP6590 Export Diversification: What?s behind the Hump? | |
| Olivier Cadot; Vanessa Strauss-Kahn; Céline Carrère | |
| 发表日期 | 2007-11-29 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Portfolio and stochastic discount factor (SDF) frontiers are usually regarded as dual objects, and researchers sometimes use one to answer questions about the other. However, the introduction of conditioning information and active portfolio strategies alters this relationship. For instance, the unconditional portfolio frontier in Hansen and Richard (1987) is not dual to the unconditional SDF frontier in Gallant, Hansen and Tauchen (1990). We characterise the dual objects to those frontiers, and relate them to the frontiers generated with managed portfolios, which are commonly used in empirical work. We also study the implications of a safe asset and other special cases. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing Dynamic portfolio strategies Representing portfolios Stochastic discount factors |
| URL | https://cepr.org/publications/dp6590 |
| 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/535428 |
| 推荐引用方式 GB/T 7714 | Olivier Cadot,Vanessa Strauss-Kahn,Céline Carrère. DP6590 Export Diversification: What?s behind the Hump?. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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。
