Enrique Sentana
Bio sketch: Enrique Sentana is Professor of Economics at CEMFI. He is also Senior Research Associate of the LSE Financial Markets Group and Research Fellow of the CEPR Financial Economics Programme. He has been President of both the Spanish Finance Association and the Spanish Economic Association, and currently he is Treasurer of the European Standing Committee of the Econometric Society. He is Managing Editor of the Review of Economic Studies, former Co-editor of the Journal of Financial Econometrics and Associate Editor of several journals including Economica, European Investment Review and Journal of Applied Econometrics.In addition, he has a long experience as academic consultant for several international financial institutions. His current research focuses on predictability of stock market returns and exchange rates; asset pricing tests; factor models for financial returns; volatility models; conditional mean-variance analysis and spanning tests; non-normal distributions for portfolio allocation, option valuation and risk management; estimation by simulation and identification tests in structural models.
Abstract: We propose GMM procedures that consistently estimate the mean-variance frontiers for returns and SDFs and the weights of the portfolios that belong to them, and derive analytically and computationally simple joint confidence regions. We discuss efficiency gains obtained by exploiting asset pricing, tangency or spanning restrictions, and study the associated overidentification tests. We systematically exploit the duality of return and SDF frontiers so that our estimators, confidence regions and tests apply to both of them. We also analyse in detail the situation in which a researcher only has data on excess returns.
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