Comparing asset pricing models:: an investment perspective

被引:185
作者
Pástor, L
Stambaugh, RF [1 ]
机构
[1] Univ Penn, Wharton Sch, Dept Finance, Philadelphia, PA 19104 USA
[2] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA
[3] Natl Bur Econ Res, Cambridge, MA 02138 USA
关键词
portfolio selection; asset pricing models; investment constraints; Bayesian analysis;
D O I
10.1016/S0304-405X(00)00044-1
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal portfolios can differ across models to economically significant degrees. The differences are substantially reduced by modest uncertainty about the models' pricing abilities. When the ratio of position size to capital is subject to realistic constraints,the differences in portfolios across models become even less important and are nonexistent in some cases. (C) 2000 Elsevier Science S.A. All rights reserved.
引用
收藏
页码:335 / 381
页数:47
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