Smart Stochastic Discount Factors

• 成果类型: Article
• 署名作者: Korsaye, Sofonias Alemu; Quaini, Alberto; Trojani, Fabio
• 署名单位: Johns Hopkins University; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC; University of Geneva; University of Geneva; University of Turin
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.05750
• 发表日期: 2026
• 关键词: SDF; convex pricing constraints; Market frictions; SDF regularization; arbitrage pricing theory

摘要

We provide a no-arbitrage framework for stochastic discount factors (SDFs) that satisfy convex pricing constraints in markets characterized by a wide range of trading frictions. We demonstrate a duality relationship connecting minimum dispersion SDFs to portfolio optimization problems with penalty functions directly capturing the underlying frictions. Empirically, we examine how mispricing impacts the SDF's effectiveness in explaining both cross-sectional and time series variation in asset returns. We find that a minimum-variance SDF, constructed by combining the capital asset pricing model SDF with a portfolio that constrains the mispricing of nonmarket risks, achieves a favorable tradeoff between time series and cross-sectional fit.