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...
| 主要な著者: | , |
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| フォーマット: | Working paper |
| 出版事項: |
University of Oxford
2011
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