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Performance measures: advantages of linear risk penalization
Ferruz Agudo, Luis; Gómez-Bezares, Fernando; Vargas, María - In: Applied financial economics 19 (2009) 1/3, pp. 73-85
This work corrects the risk quotient penalization carried out by the Sharpe and Treynor ratios, which, assuming normality in returns distribution, are equivalent to classifying the funds according to the probability of their returns being below that of the risk-free asset, without considering...
Persistent link: https://www.econbiz.de/10003825818
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Sesgos en los modelos de sincronización tradicionales
Ferruz Agudo, Luis; Muñoz, Fernando; Vargas, María - In: El trimestre económico 77 (2010) 4, pp. 937-976
Persistent link: https://www.econbiz.de/10008696282
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Stock picking, market timing and style differences between socially responsible and conventional pension funds : evidence from the United Kingdom
Ferruz Agudo, Luis; Muñoz, Fernando; Vargas, María - In: Business ethics : a European review 19 (2010) 4, pp. 408-422
Persistent link: https://www.econbiz.de/10008697957
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The importance of information technologies in the ability of fund managers to time the market
Ferruz Agudo, Luis; Vargas, María - In: International journal of electronic finance : IJEF 2 (2008) 1, pp. 70-81
Persistent link: https://www.econbiz.de/10003674937
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¿Es predecible la rentabilidad de los fondos mutuos chilenos? : análisis de la industria y de su persistencia en rentabilidad
Umaña H., Benito; Ferruz Agudo, Luis; Vargas, María - In: Panorama socio-económico 26 (2008), pp. 160-170
Persistent link: https://www.econbiz.de/10003943126
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Are traditional timing models well specified?
Ferruz Agudo, Luis; Muñoz, Fernando; Vargas, María - In: Applied economics 43 (2011) 22/24, pp. 3433-3440
Persistent link: https://www.econbiz.de/10009357356
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Does the size of a fund family matter when choosing an investment strategy? : evidence from spain
Ferruz Agudo, Luis; Muñoz, Fernando; Vargas, María - In: Review of quantitative finance and accounting 35 (2010) 3, pp. 315-334
Persistent link: https://www.econbiz.de/10009260273
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Correcting the Merton and Henriksson timing model
Ferruz Agudo, Luis; Muñoz, Fernando; Vargas, María - In: Applied economics letters 17 (2010) 10/12, pp. 1183-1187
Persistent link: https://www.econbiz.de/10008699145
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Estrategia y planificación estratégica en la empresa multinacional del automóvil
Ferruz Agudo, Luis - In: ESIC market : economic and business journal ; revista … (1988), pp. 57-70
Persistent link: https://www.econbiz.de/10001069693
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Herding behaviour in Spanish equity funds
Ferruz Agudo, Luis; Sarto, J. L.; Vicente, L. - In: Applied economics letters 15 (2008) 7/9, pp. 573-576
Persistent link: https://www.econbiz.de/10003741348