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Look-ahead benchmark bias in portfolio performance evaluation
Daniel, Gilles; Sornette, Didier; Wöhrmann, Peter - In: The journal of portfolio management : a publication of … 36 (2009/10) 1, pp. 121-130
Persistent link: https://www.econbiz.de/10003909602
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Risk, return and market timing : a conditional performance benchmarking model
Dhar, Joyit; Sinha, Ram Pratap - In: The IUP journal of financial risk management : IJFRM 13 (2016) 2, pp. 7-20
Persistent link: https://www.econbiz.de/10011537981
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Risk, Return and Market Timing : A Conditional Performance Benchmarking Model
Sinha, Ram Pratap - 2017
The traditional approach of portfolio benchmarking was developed by Markowitz (1952) with his Mean-Variance (M-V) model …
Persistent link: https://www.econbiz.de/10012965233
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A New Benchmark : Relative Performance Evaluation with Total Returns
Alanis, Emmanuel - 2020
theory occur at the asset level. Further, it is plausible that executives are concerned about the total value of the firm … view of Holmstrom and Milgrom (1987). Overall, our paper finds empirical support for a foundational theory in executive …
Persistent link: https://www.econbiz.de/10012856005
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A reappraisal of luck versus skill in the cross-section of mutual fund returns
Huang, Rong; Asteriou, Dimitrios; Pouliot, William - In: Journal of economic behavior & organization : JEBO 176 (2020), pp. 166-187
Persistent link: https://www.econbiz.de/10012431397
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Luck versus skill over time : time-varying performance in the cross-section of mutual fund returns
Ercolani, Marco G.; Pouliot, William; Ercolani, Joanne S. - In: Applied economics 50 (2018) 34/35, pp. 3686-3701
Persistent link: https://www.econbiz.de/10012059401
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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
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Improved Inference in the Evaluation of Mutual Fund Performance Using Panel Bootstrap Methods
Blake, David P. - 2016
Two new methodologies are introduced to improve inference in the evaluation of mutual fund performance against benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non-normality of individual mutual fund returns is accounted for...
Persistent link: https://www.econbiz.de/10012996413
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The evaluation of the lucky component of open-end fund performance based on bootstrap method
Yan, Shili - In: Inventi impact: microfinance & banking (2020) 4, pp. 239-257
Persistent link: https://www.econbiz.de/10012653771
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A comparative performance of conventional and Islamic unit trusts : market timing and persistence evidence
Alam, Nafis; Tang, Kin Boon; Rajjaque, Mohammad Shadique - In: Journal of financial services marketing : JFSM 18 (2013) 4, pp. 316-326
Persistent link: https://www.econbiz.de/10010230013