Francisco Penaranda

London School of Economics & Political Science (LSE) - Financial Markets Group

Houghton Street

London WC2A 2AE

United Kingdom

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Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach

CEPR Discussion Paper No. 4422
Number of pages: 67 Posted: 06 Jul 2004
Francisco Penaranda and Enrique Sentana
London School of Economics & Political Science (LSE) - Financial Markets Group and Centro de Estudios Monetarios y Financieros (CEMFI)
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Abstract:

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Asset pricing, asymptotic slopes, GMM, representing portfolios, singular covariance, matrix