Sharpe ratios in term structure models

85 citations recorded by the source corpus.

Citations in the corpus

A New Perspective on Gaussian Dynamic Term Structure Models (2011, unknown): “36See Duffee (2010) for a more extensive empirical evaluation of the properties of Sharpe ratios in GDTSMs. Joslin, Priebsch, and Singleton (2010) also investigate maximal Sharpe ratio variation within the context of macro-GDTSMs. filtering, virtually all local optima are identical to within set…”
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective (2010, unknown): “The table reports the estimates of the no predictability benchmark consistent with the expectations hypothesis (Panel A) and the Fama and Bliss (1987) and Cochrane and Piazzesi (2005) predictive regressions (Panels B,C).”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “Another potential approach to deal with over-parameterization is given in Duffee (2010).”
Betting Against Beta (2010, unknown): “These results complement those of Fama (1986) and Duffee (2010), who also consider Sharpe ratios across maturities implied by standard term structure models.”
On the Timing and Pricing of Dividends (2011, unknown): “Second, we take an average over the (13)See, among others, Fama and French (1988), Campbell and Shiller (1988), Cochrane (1991), Cochrane (2008), Lettau and Van Nieuwerburgh (2008), Wachter and Warusawitharana (2009), and Binsbergen and Koijen (2010) for the predictability of returns by the price-di”