A Strategy-Proof Test of Portfolio Returns.

Traditional methods for analyzing portfolio returns often rely on multifactor risk assessment, and tests of significance are typically based on variants of the t-test. This approach has serious limitations when analyzing the returns from dynamically traded portfolios that include derivative positio...

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Detalhes bibliográficos
Principais autores: Young, H, Foster, D
Formato: Working paper
Idioma:English
Publicado em: Department of Economics (University of Oxford) 2011