The performance evaluation for fund of funds by comparing asset allocation of mean–variance model or genetic algorithms to that of fund managers
Author:
Publisher
Informa UK Limited
Subject
Economics and Econometrics,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/09603100600970099
Reference40 articles.
1. Using genetic algorithms to find technical trading rules1Helpful comments were made by Adam Dunsby, Lawrence Fisher, Steven Kimbrough, Paul Kleindorfer, Michele Kreisler, James Laing, Josef Lakonishok, George Mailath, and seminar participants at Institutional Investor, J.P. Morgan, the NBER Asset Pricing Program, Ohio State University, Purdue University, the Santa Fe Institute, Rutgers University, Stanford University, University of California, Berkeley, University of Michigan, University of Pennsylvania, University of Utah, Washington University (St. Louis), and the 1995 AFA Meetings in Washington, D.C. We are particularly grateful to Kenneth R. French (the referee), and G. William Schwert (the editor) for their suggestions. Financial support from the National Science Foundation is gratefully acknowledged by the first author and from the Academy of Finland by the second and from the Geewax-Terker Program in Financial Instruments by both. Correspondence should be addressed to Franklin Allen, The Wharton School, University of Pennsylvania, Philadelphia, PA 19104-6367.1
2. The Performance Persistence of Closed-End Funds
3. Aggregate Performance of Mutual Funds, 1948-1967
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Assessing the Performance of ESG Mutual Funds and Traditional Funds in Emerging Economies;Advances in Logistics, Operations, and Management Science;2024-08-30
2. ESG portfolio for TDFs with time‐varying higher moments and cardinality constraint;International Transactions in Operational Research;2023-09-06
3. An ADMM Based Parallel Approach for Fund of Fund Construction;Algorithms;2022-01-25
4. Comparative Analysis Between Sustainable Index and Non-sustainable Index with Genetic Algorithms: Application to OECD Countries;Advances in Intelligent Systems and Computing;2015
5. Dicing with the market: randomized procedures for evaluation of mutual funds;Quantitative Finance;2011-02
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3