Evaluating Portfolio Performance with Stochastic Discount Factors
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Other versions of this item:
- Dahlquist, Magnus & Soderlind, Paul, 1999. "Evaluating Portfolio Performance with Stochastic Discount Factors," The Journal of Business, University of Chicago Press, vol. 72(3), pages 347-383, July.
- Dahlquist, Magnus & Söderlind, Paul, 1997. "Evaluating Portfolio Performance with Stochastic Discount Factors," CEPR Discussion Papers 1663, C.E.P.R. Discussion Papers.
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More about this item
KeywordsGMM estimators; intersection and spanning tests; mean- variance analysis; mutual funds; small sample properties;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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