Investing in equity mutual funds

被引：81
|
作者：
Pástor, L
Stambaugh, RF
机构：
[1] Univ Chicago, Grad Sch Business, Chicago, IL 60637 USA
[2] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA
[3] Natl Bur Econ Res, Cambridge, MA 02138 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2002年 / 63卷 / 03期
关键词：
mutual funds; portfolio selection;
D O I：
10.1016/S0304-405X(02)00065-X
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill, By including both benchmark and nonbenchmark indexes, we distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperform passive indexes. Optimal portfolios exclude hot-hand funds even for investors who believe momentum is priced. Our large universe of funds offers no close substitutes for the Fama-French and momentum benchmarks. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：351 / 380
页数：30
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