A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios
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- Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A performance measure of Zero-dollar Long/Short equally weighted portfolios," Documents de travail du Centre d'Economie de la Sorbonne 10030, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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KeywordsPortfolio management; performance measure; generalized hyperbolic distribution.; Gestion de portefeuille; mesure de performance; distribution hyperbolique généralisée.;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-05-02 (All new papers)
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