(Almost) Model-Free Recovery

• 成果类型: Article
• 署名作者: Schneider, Paul; Trojani, Fabio
• 署名单位: Universita della Svizzera Italiana; University of Geneva; University of Geneva
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12737
• 发表日期: 2019
• 页码: 323-370
• 关键词: LONG-TERM RISK; PRICING KERNELS; OPTION PRICES; implicit; aversion; MARKETS; return

摘要

Under mild assumptions, we recover the model-free conditional minimum variance projection of the pricing kernel on various tradeable realized moments of market returns. Recovered conditional moments predict future realizations and give insight into the cyclicality of equity premia, variance risk premia, and the highest attainable Sharpe ratios under the minimum variance probability. The pricing kernel projections are often U-shaped and give rise to optimal conditional portfolio strategies with plausible market timing properties, moderate countercyclical exposures to higher realized moments, and favorable out-of-sample Sharpe ratios.