PERFORMANCE EVALUATION - Performance Evaluation Using Conditional Alphas and Betas - Unconditional measures can incorrectly measure alpha and beta when portfolio managers engage in dynamic trading strategies or change their alphas and betas in response to publicly available information about the economy. The authors advocate conditional performance evaluation (CPE) to measure dynamic alphas and ...
| Year of publication: |
1999
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|---|---|
| Authors: | Christopherson, Jon A. ; Ferson, Wayne E. ; Turner, Andrew L. |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 26.1999, 1, p. 59-72
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