A Strategy-Proof Test of Portfolio Returns
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References listed on IDEAS
- Dean P. Foster & H. Peyton Young, 2010. "Gaming Performance Fees By Portfolio Managers," The Quarterly Journal of Economics, Oxford University Press, vol. 125(4), pages 1435-1458.
- Alvaro Sandroni & Rann Smorodinsky & Rakesh V. Vohra, 2003. "Calibration with Many Checking Rules," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 141-153, February.
More about this item
KeywordsExcess returns; Martingale maximal inequality; Hypothesis test;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- D86 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Economics of Contract Law
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-10-09 (All new papers)
- NEP-ECM-2011-10-09 (Econometrics)
- NEP-RMG-2011-10-09 (Risk Management)
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