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:2024-05 Issue: Volume:155 Page:103837
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Kan Raymond,Wang Xiaolu^ORCID,Zheng Xinghua

Publisher

Elsevier BV

Reference44 articles.

1. Approaching mean-variance efficiency for large portfolios;Ao;Rev. Financ. Stud.,2019

2. The devil in HML's details;Asness;J. Portf. Manag.,2013

3. Model comparison with Sharpe ratios;Barillas;J. Financ. Quant. Anal.,2020

4. Which alpha?;Barillas;Rev. Financ. Stud.,2017

5. Comparing asset pricing models;Barillas;J. Finance,2018

Cited by 2 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. A Comparison of Factor Models in China;Journal of Empirical Finance;2024-09

2. Testing and Ranking of Asset Pricing Models Using the GRS Statistic;Journal of Risk and Financial Management;2024-04-19

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