Portfolio efficiency and discount factor bounds with conditioning information: An empirical study
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- Martin Lettau, 2001.
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- Sydney Ludvigson & Martin Lettau, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York.
- Geert Bekaert & Jun Liu, 1999.
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- 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.
- Lars Peter Hansen & Ravi Jagannathan, 1990.
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- Hansen, Lars Peter & Jagannathan, Ravi, 1991. "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 225-62, April.
- Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of security market data for models of dynamic economies," Discussion Paper / Institute for Empirical Macroeconomics 29, Federal Reserve Bank of Minneapolis.
- 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.
- Wayne E. Ferson & Andrew Siegel, 2002.
"Stochastic Discount Factor Bounds with Conditioning Information,"
NBER Working Papers
8789, National Bureau of Economic Research, Inc.
- 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.
- 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.
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