Benchmark-based evaluation of portfolio performance: a characterization

Author:

Alekseev Aleksandr G.,Sokolov Mikhail V.

Funder

Russian Foundation for Basic Research

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance,Finance

Reference43 articles.

1. Abel, A.B.: Asset prices under habit formation and catching up with the Joneses. Am Econ Rev 80(2), 38–42 (1990)

2. Aczél, J.: Lectures on Functional Equations and Their Applications. New York: Academic Press (1966)

3. Aczél, J.: Determining merged relative scores. J Math Anal Appl 150, 205–243 (1990)

4. Admati, A.R., Pfleiderer, P.: Does it all add up? Benchmarks and the compensation of active portfolio managers. J Bus 70(3), 323–350 (1997)

5. Alexeev, A.G., Sokolov, M.V.: A theory of average growth rate indices. Math Soc Sci 71, 101–115 (2014)

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