On semiparametric stochastic discount factor estimators for private equity fund data

Here I provide you the presentation slides that discuss two of my current working papers.

First, this talk introduces a new spatial SDF estimation framework developed for private equity funds and compares it to similar methodologies. Simulation results suggest that the estimator can improve current approaches, but empirical results often remain insignificant. Second, the talk exhibits how (and why) model combination is used to obtain a strong SDF model from a collection of weak competitors. Consequentially, the empirical model combination results for several private equity fund types appear reasonable.

Data and R code for the first paper can be found on GitHub. The presentation slides are here.