A performance measure of Zero-dollar Long/Short equally weighted portfolios.
Year of publication: |
2010-03
|
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Authors: | Billio, Monica ; Calès, Ludovic ; Guegan, Dominique |
Institutions: | Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) |
Subject: | Portfolio management | performance measure | generalized hyperbolic distribution |
Extent: | application/pdf |
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Series: | Documents de travail du Centre d'Economie de la Sorbonne. - ISSN 1955-611X. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 18 pages |
Classification: | C13 - Estimation ; C44 - Statistical Decision Theory; Operations Research ; c46 |
Source: |
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