Briec, Walter; Kerstens, Kristiaan - In: Omega 37 (2009) 1, pp. 50-62
This article extends the analysis of multi-horizon mean-variance portfolio analysis in the Morey and Morey [Mutual fund performance appraisals: a multi-horizon perspective with endogenous benchmarking. Omega 1999;27:241-58] article in several ways. First, instead of either proportionally contracting...