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LFIN Seminar07 OctName : Raymond Kan Affiliation : Rotman School of Management, University of Toronto Title : In-sample and Out-of-sample Sharpe Ratios of Multi-factor Asset Pricing Models Abstract : For many multi-factor asset pricing models proposed in the recent literature, their implied tangency portfolios have substantially higher sample Sharpe ratios than that of the value-weighted market portfolio.En savoir plus
LFIN Seminar07 OctName : Raymond Kan Affiliation : Rotman School of Management, University of Toronto Title : In-sample and Out-of-sample Sharpe Ratios of Multi-factor Asset Pricing Models Abstract : For many multi-factor asset pricing models proposed in the recent literature, their implied tangency portfolios have substantially higher sample Sharpe ratios than that of the value-weighted market portfolio.