Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Kim, Tae-Hwan & White, Halbert & Stone, Douglas, 2000. "Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights," University of California at San Diego, Economics Working Paper Series qt5h98h28m, Department of Economics, UC San Diego.
References listed on IDEAS
- Geweke, John, 1986. "Exact Inference in the Inequality Constrained Normal Linear Regression Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(2), pages 127-141, April.
- Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
- Donald W. K. Andrews, 2000. "Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space," Econometrica, Econometric Society, vol. 68(2), pages 399-406, March.
- Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
- Brown, Stephen J. & Goetzmann, William N., 1997. "Mutual fund styles," Journal of Financial Economics, Elsevier, vol. 43(3), pages 373-399, March.
- Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
- D. N. Graham, 1961. "Discussion," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 9(1), pages 54-55, March.
- Donald W.K. Andrews, 1997. "Estimation When a Parameter Is on a Boundary: Theory and Applications," Cowles Foundation Discussion Papers 1153, Cowles Foundation for Research in Economics, Yale University.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- G. Christodoulakis & E. Mamatzakis, 2010.
"Return attribution analysis of the UK insurance portfolios,"
Annals of Finance,
Springer, vol. 6(3), pages 405-420, July.
- emmanuel, mamatzakis & george, christodoulakis, 2010. "Return Attribution Analysis of the UK Insurance Portfolios," MPRA Paper 22516, University Library of Munich, Germany.
- Alessandro Bucciol & Raffaele Miniaci, 2006.
"Optimal asset allocation based on utility maximization in the presence of market frictions,"
"Marco Fanno" Working Papers
0012, Dipartimento di Scienze Economiche "Marco Fanno".
- Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal Asset Allocation Based on Utility Maximization in the Presence of Market Frictions," Working Papers ubs0605, University of Brescia, Department of Economics.
- George Christodoulakis, 2002. "Sharp Style Analysis in the MSCI Sector Portfolios: A Monte Caro Integration Approach," Working Papers wp02-06, Warwick Business School, Finance Group.
- ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004.
"Evaluating style analysis,"
Journal of Empirical Finance,
Elsevier, vol. 11(1), pages 29-53, January.
- de Roon, F.A. & Nijman, T.E. & Ter Horst, J.R., 2000. "Evaluating Style Analysis," Discussion Paper 2000-64, Tilburg University, Center for Economic Research.
- de Roon, Frans & Nijman, Theo E & ter Horst, Jenke, 2002. "Evaluating Style Analysis," CEPR Discussion Papers 3181, C.E.P.R. Discussion Papers.
- Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
- Laurens Swinkels & Pieter Van Der Sluis, 2006.
"Return-based style analysis with time-varying exposures,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 12(6-7), pages 529-552.
- Laurens Swinkels, Pieter Jelle VanDerSluis, 2001. "Return-based Style Analysis with Time-varying Exposures," Computing in Economics and Finance 2001 125, Society for Computational Economics.
- Swinkels, L.A.P. & van der Sluis, P.J., 2001. "Return-Based Style Analysis with Time-Varying Exposures," Discussion Paper 2001-96, Tilburg University, Center for Economic Research.
- Fricke, Christoph & Fricke, Daniel, 2017. "Vulnerable Funds?," Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168209, Verein für Socialpolitik / German Economic Association.
- Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 353-372, September.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:3:y:2005:i:3:p:315-343. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Oxford University Press) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sofieea.html .