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Measurement of Portfolio Performance Under Uncertainty

Citations

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Cited by:

  1. Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 55-81, March.
  2. Kathleen Walsh, 2015. "The investment horizon and asset pricing models," Australian Journal of Management, Australian School of Business, vol. 40(2), pages 277-294, May.
  3. William L. Beedles, 1979. "Return, Dispersion, And Skewness: Synthesis And Investment Strategy," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 71-80, March.
  4. repec:dau:papers:123456789/13099 is not listed on IDEAS
  5. Philip Ndikum, 2020. "Machine Learning Algorithms for Financial Asset Price Forecasting," Papers 2004.01504, arXiv.org.
  6. Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019. "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  7. Marshall, Andrew & Tang, Leilei, 2011. "Assessing the impact of heteroskedasticity for evaluating hedge fund performance," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 12-19, January.
  8. Jack W. Wilson & Charles P. Jones, 1981. "The Relationship Between Performance And Risk: Whence The Bias?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 103-107, June.
  9. Modigliani, Franco. & Pogue, G. A., 1973. "A test of the capital asset pricing model on European stock markets," Working papers 667-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  10. Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
  11. Jean-Jacques Rosa, 1976. "Rentabilité, risque et équilibre à la Bourse de Paris," Revue Économique, Programme National Persée, vol. 27(4), pages 608-662.
  12. Han, Xing & Li, Kai & Li, Youwei, 2020. "Investor overconfidence and the security market line: New evidence from China," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).
  13. Robert Faff & David Hillier & Justin Wood, 2000. "Beta and Return: Implications of Australia's Dividend Imputation Tax System," Australian Journal of Management, Australian School of Business, vol. 25(3), pages 245-260, December.
  14. Misund, Bard & Mohn, Klaus, 2014. "Exploration Risk in Oil & Gas Shareholder Returns," UiS Working Papers in Economics and Finance 2014/4, University of Stavanger.
  15. Russell, Judson W. & Brooks, Robert, 1998. "Managing college tuition inflation using a surplus framework methodology," Financial Services Review, Elsevier, vol. 7(4), pages 257-271.
  16. Cristiana Mǎnescu, 2011. "Stock returns in relation to environmental, social and governance performance: Mispricing or compensation for risk?," Sustainable Development, John Wiley & Sons, Ltd., vol. 19(2), pages 95-118, March/Apr.
  17. G. P. Diacogiannis, 1999. "A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications," The European Journal of Finance, Taylor & Francis Journals, vol. 5(3), pages 225-235.
  18. Turan G. Bali & Nusret Cakici & Yi Tang, 2009. "The Conditional Beta and the Cross‐Section of Expected Returns," Financial Management, Financial Management Association International, vol. 38(1), pages 103-137, March.
  19. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, April.
  20. Amir Amel†Zadeh, 2011. "The Return of the Size Anomaly: Evidence from the German Stock Market," European Financial Management, European Financial Management Association, vol. 17(1), pages 145-182, January.
  21. Andrei Salem Gonçalves & Robert Aldo Iquiapaza & Aureliano Angel Bressan, 2012. "Latent Fundamentals Arbitrage with a Mixed Effects Factor Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 317-335.
  22. Dana J. Johnson & Richard E. Bennett & Richard J. Curcio, 1979. "A Note On The Deceptive Nature Of Bayesian Forecasted Betas," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 65-69, March.
  23. Adam Zaremba, 2016. "Is there a low-risk anomaly across countries?," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(1), pages 45-65, April.
  24. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
  25. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.
  26. Michael Curran & Adnan Velic, 2020. "The CAPM, National Stock Market Betas, and Macroeconomic Covariates: a Global Analysis," Open Economies Review, Springer, vol. 31(4), pages 787-820, September.
  27. Elton, Edwin J. & Gruber, Martin J., 2013. "Mutual Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1011-1061, Elsevier.
  28. Miguel Cantillo Simon & Nick Wonder, 2019. "An analysis of asset pricing models using out of sample data from the NYSE: 1900-1925," Working Papers 201904, Universidad de Costa Rica, revised Jul 2019.
  29. Alexander, Gordon J. & Baptista, Alexandre M., 2002. "Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1159-1193, July.
  30. Jacek Lipiec, 2014. "Capital Asset Pricing Model Testing at Warsaw Stock Exchange: Are Family Businesses the Remedy for Economic Recessions?," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 2(3), pages 1-14, July.
  31. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
  32. repec:fau:fauart:v:65:y:2015:i:1:p:84-104 is not listed on IDEAS
  33. Canova, Fabio & Marrinan, Jane, 1996. "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 709-750, April.
  34. repec:dau:papers:123456789/13772 is not listed on IDEAS
  35. Michaelides, Michael & Spanos, Aris, 2020. "On modeling heterogeneity in linear models using trend polynomials," Economic Modelling, Elsevier, vol. 85(C), pages 74-86.
  36. Erwin M. Saniga & Thomas H. McInish & Bruce K. Gouldey, 1981. "The Effect Of Differencing Interval Length On Beta," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(2), pages 129-135, June.
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