Performance Evaluation with Stochastic Discount Factors
نویسندگان
چکیده
منابع مشابه
Performance Evaluation with Stochastic Discount Factors
We study the use of stochastic discount factor (SDF) models in evaluating the investment performance of portfolio managers. By constructing artificial mutual funds with known levels of investment ability, we evaluate a large set of SDF models. We find that the measures of performance are not highly sensitive to the SDF model, and that most of the models have a mild negative bias when performanc...
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This paper shows how to evaluate the performance of managed portfolios using stochastic discount factors (SDFs) from continuous-time term structure models. The approach addresses a bias in performance measurement, described by Goetzmann, Ingersoll and Ivkovic (2000) and Ferson and Khang (2002), that arises when fund managers may trade dynamically within the return measurement interval or hold p...
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The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself. Yields vary across different investment opportunities and their interrelations are difficult to explain. For the same agent, a different discounting factor has ...
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We study hedge fund performance evaluation under the stochastic discount factor framework of Farnsworth, Ferson, Jackson, and Todd (FFJT). To accommodate dynamic trading strategies and derivatives used by hedge funds, we extend FFJT’s approach by considering models with option and time-averaged risk factors and incorporating option returns in model estimation. A wide range of models yield simil...
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Reproduction partielle permise avec citation du document source, incluant la notice ©. Short sections may be quoted without explicit permission, provided that full credit, including © notice, is given to the source. Ce document est publié dans l'intention de rendre accessibles les résultats préliminaires de la recherche effectuée au CIRANO, afin de susciter des échanges et des suggestions. Les ...
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ژورنال
عنوان ژورنال: The Journal of Business
سال: 2002
ISSN: 0021-9398,1537-5374
DOI: 10.1086/339902