Understanding portfolio efficiency with conditioning information
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- dc.contributor.author Peñaranda, Franciscoca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T12:07:54Z
- dc.date.available 2017-07-26T12:07:54Z
- dc.date.issued 2009-01-01
- dc.date.modified 2017-07-23T02:12:26Z
- dc.description.abstract We show that unconditionally efficient returns do not achieve the maximum unconditional Sharpe ratio, neither display zero unconditional Jensen s alphas, when returns are predictable. Next, we define a new type of efficient returns that is characterized by those unconditional properties. We also study a different type of efficient returns that is rationalized by standard mean-variance preferences and motivates new Sharpe ratios and Jensen s alphas. We revisit the testable implications of asset pricing models from the perspective of the three sets of efficient returns. We also revisit the empirical evidence on the conditional variants of the CAPM and the Fama-French model from a portfolio perspective.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1146
- dc.identifier.uri http://hdl.handle.net/10230/4591
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1146
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword conditional capm
- dc.subject.keyword dynamic portfolio strategies
- dc.subject.keyword jensen's alpha
- dc.subject.keyword mean-variance frontiers
- dc.subject.keyword representing portfolios
- dc.subject.keyword sharpe ratio
- dc.subject.keyword Finance and Accounting
- dc.title Understanding portfolio efficiency with conditioning informationca
- dc.type info:eu-repo/semantics/workingPaper