A Cross-Sectional Performance Measure for Portfolio Management
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Other versions of this item:
- Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A Cross-Sectional Performance Measure for Portfolio Management," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00523466, HAL.
References listed on IDEAS
- Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
More about this item
KeywordsPerformance measure; portfolio management; relative-value strategy; large portfolios; absolute return strategy; multivariate statistics; Generalized Hyperbolic Distribution;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-30 (All new papers)
- NEP-CSE-2010-10-30 (Economics of Strategic Management)
- NEP-RMG-2010-10-30 (Risk Management)
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