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Investment performance studies of pension or mutual funds have overall been too statistically inconclusive to create … the investment performance ranking of the firms is persistent. We identify that higher operational costs are correlated … significantly with lower net investment performance. We indicate how the performance ranking of the firms can help investors make …
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This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and we construct the systematic ambiguity factors from...
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