Evaluating Portfolio Performance with Stochastic Discount Factors
- 1 July 1999
- journal article
- research article
- Published by University of Chicago Press in The Journal of Business
- Vol. 72 (3) , 347-383
- https://doi.org/10.1086/209618
Abstract
We first discuss performance evaluation using stochastic discount factors and relate it to traditional mean‐variance analysis. We then use Monte Carlo experimen...All Related Versions
This publication has 25 references indexed in Scilit:
- Diversification, Integration and Emerging Market Closed-End FundsThe Journal of Finance, 1996
- A Cross-Sectional Test of an Investment-Based Asset Pricing ModelJournal of Political Economy, 1996
- Portfolio Performance Measurement: Theory and ApplicationsThe Review of Financial Studies, 1996
- Finite sample properties of the generalized method of moments in tests of conditional asset pricing modelsJournal of Financial Economics, 1994
- A Unified Approach to Testing for Serial Correlation in Stock ReturnsThe Journal of Business, 1994
- No Arbitrage and Arbitrage Pricing: A New ApproachThe Journal of Finance, 1993
- Diagnosing Asset Pricing Models Using the Distribution of Asset ReturnsThe Journal of Finance, 1991
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing ModelsEconometrica, 1987
- The Analytics of Performance Measurement Using a Security Market LineThe Journal of Finance, 1985
- Ambiguity when Performance is Measured by the Securities Market LineThe Journal of Finance, 1978