A strategy-proof test of portfolio returns

DOI10.1080/14697688.2012.678770MaRDI QIDQ2869957zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A nonmanipulable test
• Any Inspection is Manipulable
• Asymptotic calibration
• Calibration with Many Checking Rules
• Gaming Performance Fees By Portfolio Managers
• Manipulability of Future-Independent Tests
• Probability and finance. It's only a game!
• The reproducible properties of correct forecasts
• Universal Portfolios

Cited in

(1)

• When do systematic strategies decay?

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