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【95周年校庆系列讲座】Evaluation of Asset Pricing Models: Optimal Risk Premia and Goodness-of-Fit Measures

时间: 2019-07-22         阅读:

光华讲坛——社会名流与企业家论坛第 5761 期

(线上讲座)

主题: 外围买彩票appEvaluation of Asset Pricing Models: Optimal Risk Premia and Goodness-of-Fit Measures

主讲人: 外围买彩票app新加坡南洋理工大学  Robert L.Kimmel兼职教授

主持人: 金融研究院  Philip H. Dybvig教授

时间: 外围买彩票app2020年7月24日(周五)9:00-10:30

直播平台及会议ID: 腾讯会议

主办单位:外围买彩票app_靠谱的外围买球app_【官网】 金融研究院 科研处

主讲人简介:

Robert L. Kimmel received his PhD from the University of Chicago, and has held various positions at Princeton University, Ohio State University, EDHEC Business School, and the National University of Singapore. Since leaving NUS last year, he has been an adjunct lecturer at Nanyang Technological University in Singapore, and a freelance consultant. His research focuses on continuous-time modelling of stochastic volatility and interest rate processes, and methods for estimation and evaluation of asset pricing models.

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内容提要:

外围买彩票appWe consider linear factor models, in which expected returns are linear functions of beta coefficients on explanatory factors. Such models have been in common use in finance for decades, and many methods for assignment of risk premia to the factors and evaluation of the model's fit have appeared in the literature. We show that there is essentially a unique method for assigning risk premia, and a unique method for assessing the fit of the model, based on only two assumptions: the fit of the model is judged solely by its predictions of the assets' expected returns, and the fit improves when the prediction error for an asset decreases, holding the prediction error of all uncorrelated assets fixed. The unique (to within monotonic transformation and additional “tie-breaking” criteria) goodness-of-fit is based on the maximum Sharpe ratio that can be achieved using the factor mimicking portfolios, and the unique risk premia assigned to factors that are themselves excess returns are simply the expected excess returns of the factors.

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