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4 The stochastic discount factor approach.(Portfolio Performance Evaluation)
- Article from:
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Foundations and Trends in Finance
- Article date:
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April 1, 2006
- Author:
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;
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Copyright informationCOPYRIGHT 2006 Now Publishers, Inc. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan. All inquiries regarding rights should be directed to the Gale Group. (Hide copyright information)
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Modern asset pricing theory posits the existence of a stochastic discount factor, [m.sub.t+1], which is a scalar random variable, such that the following equation holds:
E([m.sub.t+1]pR.sub.t+1] - [1.bar]| [Z.sub.t]) = 0, (4.1)
where [R.sub.t+1] is the vector of primitive asset gross returns (payoff divided by price), [1.bar] is an N-vector of ones and [Z.sub.t] denotes the public information set available at time t. Virtually all asset pricing models may be viewed as specifying a particular stochastic discount factor, [m.subt+1]. The elements of the vector [m.sub.t+1][R.sub.t+1] may be viewed as "risk adjusted" gross returns. The returns are risk adjusted by ...
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