Projections of the Stochastic Discount Factor with Applications to Bubbles

2022 ◽  
Author(s):  
Artem Dyachenko
Keyword(s):  
Discount Factor ◽  
Stochastic Discount Factor

Hedge Fund Strategies, PerformanceDiversification: A Portfolio Theory & Stochastic Discount Factor Approach

2021 ◽  
pp. 101000
Author(s):  
David Newton ◽  
Emmanouil Platanakis ◽  
Dimitrios Stafylas ◽  
Charles Sutcliffe ◽  
Xiaoxia Ye
Keyword(s):  
Hedge Fund ◽  
Portfolio Theory ◽  
Discount Factor ◽  
Stochastic Discount Factor

Nonparametric estimation and testing of stochastic discount factor

2011 ◽  
Vol 8 (4) ◽  
pp. 196-205 ◽  
Author(s):  
Ying Fang ◽  
Yu Ren ◽  
Yufei Yuan
Keyword(s):  
Nonparametric Estimation ◽  
Discount Factor ◽  
Stochastic Discount Factor

THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH

2002 ◽  
Vol 6 (2) ◽  
pp. 242-265 ◽  
Author(s):  
Martin Lettau ◽  
Harald Uhlig
Keyword(s):  
Asset Pricing ◽  
Habit Formation ◽  
Market Price ◽  
Sharpe Ratio ◽  
Discount Factor ◽  
Stochastic Discount Factor ◽  
Parametric Approach ◽  
Recursive Preferences ◽  
Convenient Tool ◽  
Log Normal

We use a log-normal framework to examine the effect of preferences on the market price for risk, that is, the Sharpe ratio. In our framework, the Sharpe ratio can be calculated directly from the elasticity of the stochastic discount factor with respect to consumption innovations as well as the volatility of consumption innovations. This can be understood as an analytical shortcut to the calculation of the Hansen–Jagannathan volatility bounds, and therefore provides a convenient tool for theorists searching for models capable of explaining asset-pricing facts. To illustrate the usefulness of our approach, we examine several popular preference specifications, such as CRRA, various types of habit formation, and the recursive preferences of Epstein–Zin–Weil. Furthermore, we show how the models with idiosyncratic consumption shocks can be studied.

scholarly journals Stochastic Discount Factor Bounds with Conditioning Information

2003 ◽  
Vol 16 (2) ◽  
pp. 567-595 ◽  
Author(s):  
Wayne E. Ferson ◽  
Andrew F. Siegel
Keyword(s):  
Discount Factor ◽  
Stochastic Discount Factor ◽  
Conditioning Information

scholarly journals A Rehabilitation of Stochastic Discount Factor Methodology

10.3386/w8533 ◽  
2001 ◽  
Author(s):  
John Cochrane
Keyword(s):  
Discount Factor ◽  
Stochastic Discount Factor

Large Sample Estimators of the Stochastic Discount Factor

2018 ◽  
Author(s):  
Soohun Kim ◽  
Robert A. Korajczyk
Keyword(s):  
Discount Factor ◽  
Stochastic Discount Factor ◽  
Large Sample
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