Factor Timing
收藏NBER2020-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w26708
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资源简介：
The optimal factor timing portfolio is equivalent to the stochastic discount factor. We propose and implement a method to characterize both empirically. Our approach imposes restrictions on the dynamics of expected returns which lead to an economically plausible SDF. Market-neutral equity factors
提供机构：
美国国家经济研究局
创建时间：
2020-02-01
