Portfolio efficiency and discount factor bounds with conditioning information: An empirical study
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 31 (2007)
Issue (Month): 2 (February)
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- Peñaranda, Francisco & Sentana, Enrique, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
- 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.
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- Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
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