Performance Evaluation with Stochastic Discount Factors
收藏数据链接：
官方服务：
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
