Portfolio performance sensitivity for various asset-pricing kernels
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Publication:2384593
DOI10.1016/j.cor.2006.02.019zbMath1149.90410MaRDI 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 moments; Performance measurement; conditioning information; asset-pricing kernels; mutual fund returns
90C31: Sensitivity, stability, parametric optimization
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