haku: @indexterm arbitrage / yhteensä: 72
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Tekijä:Ahn, D-H.
Cao, H.H.
Chrétien, S.
Otsikko:Portfolio performance measurement: a no arbitrage bounds approach
Lehti:European Financial Management
2009 : MAR, VOL. 15:2, p. 298-339
Asiasana:arbitrage
performance measurement
portfolio investment
unit trusts
Kieli:eng
Tiivistelmä:A new method to examine the performance evaluation of mutual funds in incomplete markets is presented in this article. Bounds are developed on admissible performance measures based on the no arbitrage condition. New ways of ranking mutual funds are suggested and a diagnostic instrument for evaluating the admissibility of candidate performance measures is provided. A monthly sample of 320 equity funds is used to show that admissible performance values can vary widely, supporting the casual observation that investors disagree on the evaluation of mutual funds.
SCIMA tietueen numero: 271419
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