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DTSTAMP:20210916T132448Z
LOCATION:Jean-Jacques Rousseau
DTSTART;TZID=Europe/Stockholm:20210706T110000
DTEND;TZID=Europe/Stockholm:20210706T113000
UID:submissions.pasc-conference.org_PASC21_sess131_msa306@linklings.com
SUMMARY:Smart Stochastic Discount Factors
DESCRIPTION:Minisymposium\n\nSmart Stochastic Discount Factors\n\nQuaini, 
 Trojani, Alemu Korsaye\n\nWe propose a novel no-arbitrage framework, which
  exploits convex asset pricing constraints to study the properties of inve
 stors' marginal utility of wealth or, more generally, Stochastic Discount 
 Factors (SDFs). We establish a duality between minimum dispersion SDFs and
  suitable penalized portfolio selection problems, building the foundation 
 for a nonparametric characterization of the feasible tradeoffs between a S
 DF's pricing accuracy and its comovement with systematic risks. return ris
 ks. Empirically, we find that a minimum variance correction of a CAPM--SDF
  produces a Pareto optimal tradeoff. This Pareto optimal SDF only depends 
 on two economically distinct risk factors: A market factor and a minimum v
 ariance excess return factor, which optimally bounds the aggregate mispric
 ing of risks unspanned by market risk.\n\nDomain: CS and Math, Emerging Ap
 plications
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