Performance Evaluation with Stochastic Discount Factors
收藏NBER2002-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w8791
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2002-02-01
