Do Under-Managed Portfolios Outperform Over-Managed Portfolios?
نویسندگان
چکیده
منابع مشابه
Semi-Parametric Estimation and Simulation of Actively Managed Portfolios
In this paper we propose a copula-based technique to recover the distribution of actively managed funds. The copula is meant to represent the dependence structure between the market return (or in general the benchmark) and the investment strategy of the asset manager. The analysis is carried out in a rational investor economy with managed funds, such as that in Merton (1981) and Berk and Green ...
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ژورنال
عنوان ژورنال: Journal of Business & Economics Research (JBER)
سال: 2011
ISSN: 2157-8893,1542-4448
DOI: 10.19030/jber.v5i4.2538