Long-term negative fund alpha : is it caused by bad skill or bad luck?
Year of publication: |
February 2018
|
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Authors: | Bu, Qiang |
Published in: |
Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 32.2018, 1, p. 1-16
|
Subject: | Long-term negative alpha | Co-integration | Market exposure | Portfolio holdings | GARCH volatility | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Schätzung | Estimation | ARCH-Modell | ARCH model | Investmentfonds | Investment Fund | Kapitaleinkommen | Capital income |
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