Methods for Portfolio Performance Evaluation
Author:
Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-030-73443-5_35-1
Reference16 articles.
1. Chen, Son-Nan, and C.F. Lee. 1981. The sampling relationship between Sharpe’s performance measure and its risk proxy: Sample size, investment horizon and market conditions. Management Science 27: 607–618.
2. ———. 1986. The effects of the sample size, the investment horizon and market conditions on the validity of composite performance measures: A generalization. Management Science 32: 1410–1421.
3. Christopherson, Jon A. 1995. Equity style classifications. Journal of Portfolio Management 21: 32–43.
4. Cumby, R.E., and J.D. Glen. 1990. Evaluating the performance of international mutual funds. Journal of Finance 45: 497–521.
5. Grinblatt, M., and S. Titman. 1994. A study of monthly mutual fund returns and performance evaluation techniques. Journal of Financial and Quantitative Analysis 29: 419–444.
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