Portfolio performance sensitivity for various asset-pricing kernels
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Publication:2384593
DOI10.1016/j.cor.2006.02.019zbMath1149.90410OpenAlexW2087441867MaRDI QIDQ2384593
Mohamed Ali Ayadi, Lawrence Kryzanowski
Publication date: 10 October 2007
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2006.02.019
generalized method of momentsPerformance measurementconditioning informationasset-pricing kernelsmutual fund returns
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- Asset Pricing Specification Errors and Performance Evaluation
- THE EXACT ERROR IN ESTIMATING THE SPECTRAL DENSITY AT THE ORIGIN
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
- Common Factors in Active and Passive Portfolios
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