haku: @indexterm performance measurement / yhteensä: 862
viite: 209 / 862
Tekijä: | Korkie, B. Nakamura, M. Turtle, H.J. |
Otsikko: | A contingent claim analysis of closed-end fund premia |
Lehti: | International Review of Financial Analysis
2001 : VOL. 10:4, p. 365-394 |
Asiasana: | ARBITRAGE CONTINGENT CLAIMS NET PRESENT VALUE PERFORMANCE MEASUREMENT RISK |
Vapaa asiasana: | CLOSED-END FUNDS |
Kieli: | eng |
Tiivistelmä: | The authors estimate contingent claims that replicate monthly net asset value (NAV) payoffs from closed-end funds. A claim's theoretical value is obtained by martingale pricing methods. The resulting net present value (NPVS) sequence is the theoretical premia sequence that is compared to the actual market premia sequence. |
SCIMA