Alternative risk premium: specification noise
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems and Management,Strategy and Management,Business and International Management
Link
https://link.springer.com/content/pdf/10.1057/s41260-023-00327-y.pdf
Reference27 articles.
1. Bailey, D., and M. López de Prado. 2012. The Sharpe Ratio Efficient Frontier. Journal of Risk 15(2): 3–44.
2. Bailey, D., and M. López de Prado. 2014. The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-normality. Journal of Portfolio Management 40(5): 94–107.
3. Baltussen, G., L. Swinkels, and P. van Vliet. 2021. Global Factor Premiums. Journal of Financial Economics 142(3): 1128–1154.
4. Chabot, B., E. Ghysels, and R. Jagannathan. 2014. Momentum Trading, Return Chasing, and Predictable Crashes. Federal Reserve Bank of Chicago, Working Paper 2014-27.
5. Conrad, J., M. Cooper, and G. Kaul. 2003. Value Versus Glamour. Journal of Finance 58(5): 1969–1995.
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