A Strategy-Proof Test of Portfolio Returns.

A Strategy-Proof Test of Portfolio Returns.

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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...

書誌詳細
主要な著者:	Young, H, Foster, D
フォーマット:	Working paper
言語:	English
出版事項:	Department of Economics (University of Oxford) 2011

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