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A Note on Sorting Bias Correction in Regression-Based Mutual Fund Tournament Tests
Karoui, Aymen - 2019
The tournament hypothesis of Brown et al. (1996) conjectures that mutual funds with a below average performance over …
Persistent link: https://www.econbiz.de/10012904701
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Fractile graphical analysis in finance : a new perspective with applications
Bera, Anil K.; Ghosh, Aurobindo - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-20
Fractile Graphical Analysis (FGA) was proposed by Prasanta Chandra Mahalanobis in 1961 as a method for comparing two distributions at two different points (of time or space) controlling for the rank of a covariate through fractile groups. We use bootstrap techniques to formalize the heuristic...
Persistent link: https://www.econbiz.de/10013401813
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Optimizing stock market returns during global pandemic using regression in the context of Indian stock market
Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10
December 2020. The performance of the portfolio in real-life situation during 1 January 2021 to 21 May 2021 is examined …
Persistent link: https://www.econbiz.de/10012627066
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Ensemble models using symbolic regression and genetic programming for uncertainty estimation in ESG and alternative investments
Venegas, Percy; Britez, Isabel; Gobet, Fernand - In: Big Data in Finance : Opportunities and Challenges of …, (pp. 69-91). 2022
Persistent link: https://www.econbiz.de/10013431765
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Stepwise expanding the frontier one asset at a time
Chiu, Wan-Yi - In: Finance research letters 46 (2022) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10013341338
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Mutual Fund Characteristics and Performance : A Nonparametric Kernel Estimation
Al-Suhaibani, Mohammad - 2013
The nonparametric estimation method is employed to evaluate empirically the relationship between the performance of a …, and market capitalization. The empirical results seem to indicate that performance is negatively related to expense ratio …, and positively to systematic risk and fund size. No clear relationship show up between performance and other …
Persistent link: https://www.econbiz.de/10013080943
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Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry
Pouliot, William - In: Economic modelling 58 (2016), pp. 523-534
Persistent link: https://www.econbiz.de/10011647526
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Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
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International mutual funds stability and benefits of diversification
Essayyad, Musa - In: Economia internazionale 47 (1994) 2, pp. 139-159
Persistent link: https://www.econbiz.de/10001175914
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Interval estimation of mutual fund performance
Sinha, Ram Pratap - In: Praj̄nȧn : journal of social and management sciences 43 (2014) 1, pp. 75-88
Persistent link: https://www.econbiz.de/10010479146