A Strategy-Proof Test of Portfolio Returns.

A Strategy-Proof Test of Portfolio Returns.

Taispeáin leaganacha eile (2)

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...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Young, H, Foster, D
Formáid:	Working paper
Teanga:	English
Foilsithe / Cruthaithe:	Department of Economics (University of Oxford) 2011

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