Portfolio Performance Measurement: Monotonicity with Respect to the Sharpe Ratio and Multivariate Tests of Correlation-Reference-Cited by-同舟云学术

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Portfolio Performance Measurement: Monotonicity with Respect to the Sharpe Ratio and Multivariate Tests of Correlation

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Adcock Christopher J.,Branddo da Costa Areal Nelson Manuel de Pinho,Rocha Armada Manuel Joss,Ceu Cortez Maria,Oliveira Benilde,Silva Florinda

Publisher

Elsevier BV

Reference69 articles.

1. Unpublished working paper, Multi-Moment Capital Asset Pricing Models and Related Topics Workshop;C J Adcock;Finance sur Seine,2002

2. Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution;C J Adcock;Ann. Oper. Res,2010

3. Tests of the correlation between portfolio performance measures;C J Adcock;J. Financ. Transformation,2012

4. Time varying betas and the unconditional distribution of asset returns;C J Adcock;Quant. Finance,2012

5. Portfolio selection based on the multivariate skew normal distribution;C J Adcock;Financial Modelling,2001

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