Attribution of ex-post realized Sharpe ratio to the predictability of the ex-ante forecast return and risk
Year of publication: |
2020
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Authors: | Shimizu, Masahito |
Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 18.2020, 3, p. 109-124
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Subject: | Sharpe ratio | attribution analyses | benchmark | ex-ante forecast return distributions | ex-post realized return distributions | mean-variance approach | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | CAPM | Finanzanalyse | Financial analysis | Benchmarking | Risiko | Risk |
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