Alpha decay and Sharpe ratio: Two measures of investor performance
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DOI: 10.1016/j.econmod.2021.105558
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More about this item
Keywords
Investor performance; The Sharpe ratio; Alpha decay; Trading activities; Transaction costs;All these keywords.
JEL classification:
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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