| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7162 |
| 来源ID | Working Paper 7162 |
| Asset Pricing Models: Implications for Expected Returns and Portfolio Selection | |
| A. Craig MacKinlay; Lubos Pastor | |
| 发表日期 | 1999-06-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of this link leads to expected return estimates that are more precise and more stable over time than unrestricted estimates. Optimal portfolio weights that incorporate the link when no factors are observable are proportional to expected return estimates, effectively using an identity matrix as a covariance matrix. The resulting portfolios perform well both in simulations and in out-of-sample comparisons. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w7162 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564697 |
| 推荐引用方式 GB/T 7714 | A. Craig MacKinlay,Lubos Pastor. Asset Pricing Models: Implications for Expected Returns and Portfolio Selection. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7162.pdf（473KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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