Showing 11 - 20 of 127
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
Persistent link: https://www.econbiz.de/10005334491
Persistent link: https://www.econbiz.de/10009925791
Persistent link: https://www.econbiz.de/10005140459
Persistent link: https://www.econbiz.de/10005691771
Persistent link: https://www.econbiz.de/10002675694
Persistent link: https://www.econbiz.de/10002609073
Persistent link: https://www.econbiz.de/10002609080
Persistent link: https://www.econbiz.de/10002609100
Persistent link: https://www.econbiz.de/10012094265