Econometrics of efficient fitted portfolios

Gouriéroux, Christian; Jouneau, Frédéric

doi:10.1016/s0927-5398(98)00010-3

Cited by 18 publications

(19 citation statements)

References 20 publications

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“…(2). Moreover, they can be used to assess the efficiency of actual household portfolios, using the Gourieroux and Jouneau (1999) test.…”

Section: Optimal Portfolio Allocation and Efficiency Test Resultsmentioning

confidence: 99%

“…We can test whether household portfolios are efficient conditionally on housing by computing a statistic that is based on the financial portfolio Sharpe ratio 2 after allowance has been made for the hedge term. In fact, Gourieroux and Jouneau (1999) derive an efficiency test for the conditional or constrained case, i.e. for the case where a subset of asset holdings is potentially constrained (housing, in our case).…”

Section: Analysis Conditional On Housingmentioning

confidence: 99%

“…We test conditional efficiency by computing a statistic that is based on the financial portfolio Sharpe Ratio (the ratio of the mean excess return to the standard deviation) after allowance has been made for the hedge term (the conditional efficiency test statistic is derived in Gourieroux and Jouneau (1999)). The aim of our application is to evaluate the empirical relevance of housing risk in household portfolios.…”

Section: Introductionmentioning

confidence: 99%

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Efficient portfolios when housing needs change over the life cycle

Pelizzon

Weber

2009

Journal of Banking & Finance

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a b s t r a c tWe address the issue of the efficiency of household portfolios in the presence of housing risk. We treat housing stock as an asset and rents as a stochastic liability stream: over the life cycle, households can be short or long in their net-housing position. Efficient financial portfolios are the sum of a standard Markowitz portfolio and a housing risk hedge term that multiplies net housing wealth. Our empirical results show that net housing plays a key role in determining which household portfolios are inefficient. The largest proportion of inefficient portfolios obtains among those with positive net housing, who should invest more in stocks.

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“…(2). Moreover, they can be used to assess the efficiency of actual household portfolios, using the Gourieroux and Jouneau (1999) test.…”

Section: Optimal Portfolio Allocation and Efficiency Test Resultsmentioning

confidence: 99%

Section: Analysis Conditional On Housingmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Efficient portfolios when housing needs change over the life cycle

Pelizzon

Weber

2009

Journal of Banking & Finance

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“…One breaks down the analysis of the estimated optimal portfolios between finite and infinite sample sizes. Asymptotic results were obtained among others by Jobson andKorkie (1980, 1989), Gourieroux and Jouneau (1999), and Gourieroux and Monfort (2005). For results with finite sample size, we refer to Gibbons et al (1989), Britten-Jones (1999, Bodnar (2004), Mori (2004), Okhrin and Schmid (2006), and references therein.…”

Section: Introductionmentioning

confidence: 85%

Statistical inference procedure for the mean–variance efficient frontier with estimated parameters

Bodnar

2009

AStA Adv Stat Anal

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“…This increase is a natural criterion to rank different funds, if they are considered to complete another subset of assets (see Gourieroux and Jouneau (1999)). For instance, the risky asset 1 can be a tracker written on the market portfolio, 6 and the funds compared by means of the individual performance measurements S T:jj1 , if the investor considers portfolios including the tracker and one fund as risky assets.…”

Section: Fitted Sharpe Performancementioning

confidence: 99%

Conditionally fitted Sharpe performance with an application to hedge fund rating

Darolles

Gouriéroux

2010

Journal of Banking & Finance

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International audienceWe define a battery of Sharpe performance measures, which differ by the information taken into account in their computation, but also by the potential use of the fund by the investor. Four advantages of Sharpe performance based rating are especially important for the investor. First, the performance measures correspond to the standard measures used for mutual funds and known by retail investors. Second, we can compare the numerical results, even if they are obtained with different assumptions. Third, the rankings are based on regression analysis and easy to compute. Fourth, we can easily use these performance measures in the design of an optimal basket of hedge funds. Finally, we can use the performance measures to partition the set of funds into homogenous segments

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Econometrics of efficient fitted portfolios

Cited by 18 publications

References 20 publications

Efficient portfolios when housing needs change over the life cycle

Efficient portfolios when housing needs change over the life cycle

Statistical inference procedure for the mean–variance efficient frontier with estimated parameters

Conditionally fitted Sharpe performance with an application to hedge fund rating

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