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Ranking Portfolio Performance: An Application of a Joint Means and Variances Equality Test
Owen, Joel; Rabinovitch, Ramón - In: Journal of Applied Economics II (1999) May, pp. 97-130
We propose a new procedure to rank portfolio performance. Given a set of N portfolios, we use statistical tests of dominance which produce direct mean-variance comparisons between any two portfolios in the set. These tests yield an NxN matrix of pairwise comparisons. A ranking function maps the...
Persistent link: https://www.econbiz.de/10005624084
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The Cost of Information and Equilibrium in the Capital Asset Market
Owen, Joel; Rabinovitch, Ramon - In: Journal of Financial and Quantitative Analysis 15 (1980) 03, pp. 497-508
Persistent link: https://www.econbiz.de/10005140459
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On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice.
Owen, Joel; Rabinovitch, Ramon - In: Journal of Finance 38 (1983) 3, pp. 745-52
Persistent link: https://www.econbiz.de/10005334491
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Nonhomogeneous Expectations and Information in the Capital Asset Market.
Rabinovitch, Ramon; Owen, Joel - In: Journal of Finance 33 (1978) 2, pp. 575-87
Persistent link: https://www.econbiz.de/10005691771
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Nonhomogeneous expectations and information in the capital asset market
Rabinovitch, Ramon; Owen, Joel - In: The journal of finance : the journal of the American … 33 (1978) 2, pp. 575-587
Persistent link: https://www.econbiz.de/10002675681
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The cost of information and equilibrium in the capital asset market
Owen, Joel; Rabinovitch, Ramon - In: Journal of financial and quantitative analysis : JFQA 15 (1980) 3, pp. 497-508
Persistent link: https://www.econbiz.de/10002609090
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Elliptical distributions and their applications to portfolio theory
Owen, Joel; Rabinovitch, Ramon - In: Geld, Banken und Versicherungen : Beiträge zum ... … 1 (1983), pp. 611-613
Persistent link: https://www.econbiz.de/10002609125
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On the class of elliptical distributions and their applications to the theory of portfolio choice
Owen, Joel; Rabinovitch, Ramon - In: The journal of finance : the journal of the American … 38 (1983) 3, pp. 745-752
Persistent link: https://www.econbiz.de/10002609142
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Ranking Portfolio Performance : An Application of a Joint Means and Variances Equality Test
Owen, Joel - 2004
We propose a new procedure to rank portfolio performance. Given a set of N portfolios, we use statistical tests of dominance which produce direct mean-variance comparisons between any two portfolios in the set. These tests yield an NxN matrix of pairwise comparisons. A ranking function maps the...
Persistent link: https://www.econbiz.de/10012785650
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Ranking portfolio performance bya joint means and variances equlity test
Owen, Joel; Rabinovitch, Ramon - In: Journal of applied economics 2 (1999) 1, pp. 97-130
Persistent link: https://www.econbiz.de/10009925791