Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Levy stable (PLs) distributed, whereas others have...

Investment performance evaluation is one of the pillars of finance and its techniques have refined throughout the years. This work focuses on the evaluation of the investment performance achieved through a top-down investment strategy analyzed using the Brinson model: a set of techniques that...