Attribution of ex-post realized Sharpe ratio to the predictability of the ex-ante forecast return and risk
Masahito Shimizu
| Year of publication: |
2020
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| Authors: | Shimizu, Masahito |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 18.2020, 3, p. 109-124
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| Subject: | Sharpe ratio | attribution analyses | benchmark | ex-ante forecast return distributions | ex-post realized return distributions | mean-variance approach | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Finanzanalyse | Financial analysis | Statistische Verteilung | Statistical distribution | Risiko | Risk | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012589114