Portfolio efficiency and discount factor bounds with conditioning information: An empirical study
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 31 (2007)
Issue (Month): 2 (February)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jbf
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sydney Ludvigson & Martin Lettau, 1999.
"Consumption, aggregate wealth and expected stock returns,"
77, Federal Reserve Bank of New York.
- Martin Lettau, 2001. "Consumption, Aggregate Wealth, and Expected Stock Returns," Journal of Finance, American Finance Association, vol. 56(3), pages 815-849, 06.
- Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
- Wayne E. Ferson & Andrew F. Siegel, 2003.
"Stochastic Discount Factor Bounds with Conditioning Information,"
Review of Financial Studies,
Society for Financial Studies, vol. 16(2), pages 567-595.
- Wayne E. Ferson & Andrew Siegel, 2002. "Stochastic Discount Factor Bounds with Conditioning Information," NBER Working Papers 8789, National Bureau of Economic Research, Inc.
- Gallant, A. Ronald & Hansen, Lars Peter & Tauchen, George, 1990. "Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 141-179.
- Wayne E. Ferson, 2001. "The Efficient Use of Conditioning Information in Portfolios," Journal of Finance, American Finance Association, vol. 56(3), pages 967-982, 06.
- Geert Bekaert, 2004.
"Conditioning Information and Variance Bounds on Pricing Kernels,"
Review of Financial Studies,
Society for Financial Studies, vol. 17(2), pages 339-378.
- Geert Bekaert & Jun Liu, 1999. "Conditioning Information and Variance Bounds on Pricing Kernels," NBER Working Papers 6880, National Bureau of Economic Research, Inc.
- Peñaranda, Francisco & Sentana, Enrique, 2007.
"Duality in Mean-Variance Frontiers with Conditioning Information,"
CEPR Discussion Papers
6566, C.E.P.R. Discussion Papers.
- Enrique Sentana & Francisco Peñaranda, 2007. "Duality In Mean-Variance Frontiers With Conditioning Information," Working Papers wp2007_0715, CEMFI.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
- Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
- Chen, Hsuan-Chi & Chung, San-Lin & Ho, Keng-Yu, 2011. "The diversification effects of volatility-related assets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1179-1189, May.
- Jha, Ranjini & Korkie, Bob & Turtle, Harry J., 2009. "Measuring performance in a dynamic world: Conditional mean-variance fundamentals," Journal of Banking & Finance, Elsevier, vol. 33(10), pages 1851-1859, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.