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Conditional performance measurement using portfolio weights : evidence for pension funds

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Persistent link: https://www.econbiz.de/10001650675

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Conditional Performance Measurement Using Portfolio Weights : Evidence for Pension Funds

Ferson, Wayne - 2002

This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993)....

Persistent link: https://www.econbiz.de/10012469925