Evaluating the size of the bootstrap method for fund performance evaluation

DOI10.1016/J.ECONLET.2017.03.028MaRDI QIDQ1673520zbMATH OpenOpenAlexFDO

Authors Tingting Cheng, Cheng Yan

Publication date 12 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://dro.dur.ac.uk/21358/1/21358.pdf

zbMATH Keywords

bootstrapMonte Carlo simulationperformance evaluationunobservable factors

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
• Panel data models with interactive fixed effects
• Theory and methods of panel data models with interactive effects

Cited in

(3)

• Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
• Capital Allocation Using the Bootstrap
• Bootstrap analysis of mutual fund performance

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