Pirotte, Hugues; Tuchschmid, Nils - Solvay Brussels School of Economics and Management, … - 2014
Since the Markowitz mean-variance framework of 1952 and the subsequent discoveries of the CAPM and the APT, finance researchers have always strived to produce a reference performance measure adjusted for risk. With such a measure, any supplemental return would be denominated as “alpha”. But...