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The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis


  • Philippe Bertrand

    () (CERGAM - Centre d'√Čtudes et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Universit√© - UTLN - Universit√© de Toulon)

  • Costin Protopopescu


No abstract is available for this item.

Suggested Citation

  • Philippe Bertrand & Costin Protopopescu, 2008. "The Sensitivity of the Asymptotic Variance of Performance Measures with Respect to Skewness and Kurtosis," Post-Print hal-01833104, HAL.
  • Handle: RePEc:hal:journl:hal-01833104
    DOI: 10.2139/ssrn.2666524
    Note: View the original document on HAL open archive server:

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    Cited by:

    1. Lipton, Amy F. & Kish, Richard J., 2010. "Robust performance measures for high yield bond funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 332-340, August.

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