In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models-Reference-Cited by-同舟云学术

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In-Sample and Out-of-Sample Sharpe Ratios of Multi-Factor Asset Pricing Models

Published:2019 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Kan Raymond,Wang Xiaolu,Zheng Xinghua

Publisher

Elsevier BV

Reference37 articles.

1. Approaching mean-variance efficiency for large portfolios;Mengmeng Ao;Review of Financial Studies,2019

2. The devil in HML's details;Clifford Asness;Journal of Portfolio Management,2013

3. Quality minus junk;Clifford Asness;Review of Accounting Studies,2019

4. Model comparison with Sharpe ratios;Francisco Barillas;Journal of Financial and Quantitative Analysis,2019

5. Which Alpha?

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Factor Model Comparisons with Conditioning Information;Journal of Financial and Quantitative Analysis;2024-01-29

2. Model Comparison with Transaction Costs;The Journal of Finance;2023-04-12

3. Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio;IEEE Transactions on Signal Processing;2023

4. Model Selection with Transaction Costs;SSRN Electronic Journal;2021

5. A Comparison of Global Factor Models;SSRN Electronic Journal;2020

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