Optimal active portolio management and relative performance drivers: theory and evidence
In: Portfolio and risk management for central banks and sovereign wealth funds
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References listed on IDEAS
- Blake, Christopher R & Elton, Edwin J & Gruber, Martin J, 1993. "The Performance of Bond Mutual Funds," The Journal of Business, University of Chicago Press, vol. 66(3), pages 370-403, July.
- Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008.
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- Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
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