Nonparametric assessment of hedge fund performance

DOI10.1016/j.jeconom.2019.08.002zbMath1456.62240OpenAlexW3122315906WikidataQ127315534 ScholiaQ127315534MaRDI QIDQ2294447

Caio Almeida, René Garcia, Kym Ardison

Publication date: 11 February 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/32628/1/wp_tse_1024.pdf

zbMATH Keywords

higher-order momentsnonparametric estimationhedge fundsadmissible performance measures

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05)

Related Items (1)

Nonparametric Option Pricing with Generalized Entropic Estimators

Cites Work

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