The trade-off frontier for ESG and Sharpe ratio: a bootstrapped double-frontier data envelopment analysis
The trade-off between the returns and the risks associated with the stocks (ie, the Sharpe
ratio, SR) is an important measure of portfolio optimization. In recent years, the …
ratio, SR) is an important measure of portfolio optimization. In recent years, the …
Machine-learning stock market volatility: Predictability, drivers, and economic value
We investigate whether machine learning (ML) techniques, using a large set of financial and
macroeconomic variables, help to predict S&P 500 realized volatility and deliver economic …
macroeconomic variables, help to predict S&P 500 realized volatility and deliver economic …
Economic evaluation of asset pricing models under predictability
E Hansen - Journal of Empirical Finance, 2022 - Elsevier
This paper performs an out-of-sample comparison of linear factor asset pricing models from
an economic perspective under predictability. I assess the economic value added of several …
an economic perspective under predictability. I assess the economic value added of several …
[HTML][HTML] Factor models for Chinese A-shares
We compare the performance of commonly employed asset pricing models on a large,
liquid, but mostly segmented Chinese A-shares equity market. When restricting ourselves to …
liquid, but mostly segmented Chinese A-shares equity market. When restricting ourselves to …
[引用][C] Economic Evaluation of Asset Pricing Models: Exploiting Cross-sectional Restrictions on Return Predictability Dynamics
E Hansen