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...
| Κύριοι συγγραφείς: | , |
|---|---|
| Μορφή: | Working paper |
| Έκδοση: |
University of Oxford
2011
|