A strategy-proof test of portfolio returns

DOI10.1080/14697688.2012.678770zbMATH Open1278.91137OpenAlexW2113736050MaRDI QIDQ2869957FDOQ2869957

Authors: Dean P. Foster, H. Peyton Young 

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://repository.upenn.edu/statistics_papers/485

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Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

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• Title not available (Why is that?)
• Probability and finance. It's only a game!
• Manipulability of Future-Independent Tests
• Asymptotic calibration
• Universal Portfolios
• A nonmanipulable test
• The reproducible properties of correct forecasts
• Calibration with Many Checking Rules
• Any Inspection is Manipulable
• Gaming Performance Fees By Portfolio Managers

Cited In (1)

• When do systematic strategies decay?

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