(Almost) Model‐Free Recovery
在温和假设下，恢复定价核在可交易市场收益实现矩上的无模型条件最小方差投影，这些投影预测未来实现并揭示股权溢价、方差风险溢价和最高可达夏普比率的周期性，且投影呈U形，产生具有合理市场择时特性的最优条件投资组合策略。
ABSTRACT Under mild assumptions, we recover the model‐free conditional minimum variance projection of the pricing kernel on various tradeable realized moments of market returns. Recovered conditional moments predict future realizations and give insight into the cyclicality of equity premia, variance risk premia, and the highest attainable Sharpe ratios under the minimum variance probability. The pricing kernel projections are often U ‐shaped and give rise to optimal conditional portfolio strategies with plausible market timing properties, moderate countercyclical exposures to higher realized moments, and favorable out‐of‐sample Sharpe ratios.