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| Tekijä: | Söderlund, P. |
| Otsikko: | An interpretation of SDF based performance measures |
| Lehti: | European Finance Review
1999 : VOL. 3:2, p. 233-237 |
| Asiasana: | Unit trusts Portfolio management Mathematical models Performance measurement |
| Kieli: | eng |
| Tiivistelmä: | This note discusses stochastic discount factor (SDF) measures of mutual fund performance. The SDF measures of fund performance in Chen and Knez are the same as the performance measures from a factor portfolio model with time-varying betas. |
SCIMA