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| Author: | Dahlquist, M. Söderlind, P. |
| Title: | Evaluating portfolio performance with stochastic discount factors |
| Journal: | Journal of Business
1999 : JUL, VOL. 72:3, p. 347-383 |
| Index terms: | Portfolio investment Financial performance Stochastic processes Company performance Benchmarking Monte Carlo technique |
| Language: | eng |
| Abstract: | The authors first discuss performance evaluation using stochastic discount factors and relate it to traditional mean-variance analysis. They then use Monte Carlo experiments to examine the properties of various general method of moment estimators, and finally offer an evaluation indicates that funds have had nonneutral performance as revealed by the predictability of the unconditional performance measure. |
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