Evaluating Portfolio Performance with Stochastic Discount Factors

Magnus Dahlquist () and Paul Söderlind
Additional contact information
Magnus Dahlquist: Department of Finance, Postal: Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden

No 175, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper provides evidence on the use of stochastic discount factors in the evaluation of portfolio performance. First we discuss evaluation in this setting, and relates it to traditional mean-variance analysis. We then use Monte Carlo experiments to examine the small sample properties of generalized method of moment (GMM) estimators, Both Size and power properties are characterized for various GMM approaches. Finally, we apply the methodology to Swedish-based mutual funds. We offer an evaluation allowing for passive as well as dynamic strategies. The conditional evaluation indicates that funds may have had superior performance over the sample period.

Keywords: GMM estimators; intersection and spanning tests; mean- variance analysis; mutual funds; small sample properties (search for similar items in EconPapers)
JEL-codes: G11 G12 G23 (search for similar items in EconPapers)
Pages: 39 pages
Date: 1997-05, Revised 1998-09-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Journal of Business, 1999, pages 347-384.

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Evaluating Portfolio Performance with Stochastic Discount Factors (1999)
Working Paper: Evaluating Portfolio Performance with Stochastic Discount Factors (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0175

Access Statistics for this paper

More papers in SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden. Contact information at EDIRC.
Bibliographic data for series maintained by Helena Lundin ().