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Persistent link: https://www.econbiz.de/10005279318
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