Review of Finance Vol. 3 No. 2 1999
An Interpretation of SDF Based Performance Measures
open access
Abstract
This note discusses stochastic discount factor (SDF) measures of mutual fund performance. It shows that the most common SDF performance measures can be interpreted as Jensen's “alphas”.
- DOI
- 10.1023/a:1009841713667
- Volume
- 3
- Issue
- 2
- Pages
- 233-237
- Language
- en
- Sources
- openalex bibtex:phds-export.bib crossref