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On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares
16 references·5 citing·35 second hop
On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares (2006)On Testing the Equality of the Multiple S…Risks and Portfolio Decisions Involving Hedge Funds (2003)Risks and Portfolio Decisions…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality (2000)Statistical Inference for Sto…Optimization of conditional value-at-risk (2000)Optimization of conditional v…The Performance of Hedge Funds: Risk, Return, and Incentives (1999)The Performance of Hedge Fund…The Sharpe Ratio (1994)The Sharpe RatioPerformance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Performance Hypothesis Testin…Approximating Expected Utility by a Function of Mean and Variance (1979)Approximating Expected Utilit…A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)A Comparison of the Stable an…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Mutual Fund Performance (1966)Mutual Fund PerformanceThe Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Utility of Wealth (1952)The Utility of WealthReview on behavioral economics and behavioral finance (2020)Review on behavioral economic…Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections (2018)Big Data, Computational Scien…The Value of Funds of Hedge Funds: Evidence from Their Holdings (2012)The Value of Funds of Hedge F…STOCHASTIC DOMINANCE AND BEHAVIOR TOWARDS RISK: THE MARKET FOR ISHARES (2012)STOCHASTIC DOMINANCE AND BEHA…Multivariate Stochastic Dominance for Risk Averters and Risk Seekers (2010)Multivariate Stochastic Domin…The Utility Analysis of Choices Involving Risk (1948)Rules for Ordering Uncertain Prospects (1969)On the measurement of inequality (1970)Optimal rules for ordering uncertain prospects (1975)Stochastic Dominance and Expected Utility: Survey and Analysis (1992)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Handbook of Emotions (1993)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Asset Pricing (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Efficient Capital Markets: II (1991)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1994The Sharpe Ratio2,542 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 1952The Utility of Wealth1,845 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 2003Risks and Portfolio Decisions Involving Hedge Funds1,213 cited
  • 1999The Performance of Hedge Funds: Risk, Return, and Incentives1,101 cited
  • 1974A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices903 cited
  • 1979Approximating Expected Utility by a Function of Mean and Variance874 cited
  • 2000Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality870 cited

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  • 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures860 cited
  • Cited by

    • 2012STOCHASTIC DOMINANCE AND BEHAVIOR TOWARDS RISK: THE MARKET FOR ISHARES27 cited
    • 2012The Value of Funds of Hedge Funds: Evidence from Their Holdings27 cited
    • 2020Review on behavioral economics and behavioral finance25 cited
    • 2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections14 cited
    • 2010Multivariate Stochastic Dominance for Risk Averters and Risk Seekers1 cited