具有条件信息的均方差边界的对偶性

Francisco Peñaranda, Enrique Sentana
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引用次数: 16

摘要

投资组合边界和随机贴现因子边界通常被视为双重对象,研究人员有时使用一个来回答关于另一个的问题。然而,条件信息和主动投资组合策略的引入改变了这种关系。例如,Hansen和Richard(1987)的无条件投资组合边界并不等同于Gallant、Hansen和Tauchen(1990)的无条件SDF边界。我们描述了这些边界的双重对象,并将它们与管理投资组合产生的边界联系起来,这些边界通常用于实证工作。我们还研究了安全资产和其他特殊情况的含义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Duality in Mean-Variance Frontiers with Conditioning Information
Portfolio and stochastic discount factor (SDF) frontiers are usually regarded as dual objects, and researchers sometimes use one to answer questions about the other. However, the introduction of conditioning information and active portfolio strategies alters this relationship. For instance, the unconditional portfolio frontier in Hansen and Richard (1987) is not dual to the unconditional SDF frontier in Gallant, Hansen and Tauchen (1990). We characterise the dual objects to those frontiers, and relate them to the frontiers generated with managed portfolios, which are commonly used in empirical work. We also study the implications of a safe asset and other special cases.
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