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An analysis of performance measures using copulae
16 references·1 citing·39 second hop
An analysis of performance measures using copulae (2002)An analysis of performance measures using…How to Rate Management of Investment Funds (2012)How to Rate Management of Inv…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…An Introduction to Copulas (1999)An Introduction to CopulasOptimal Prediction Under Asymmetric Loss (1997)Optimal Prediction Under Asym…Elements of Forecasting (1997)Elements of ForecastingA Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques (1994)A Study of Monthly Mutual Fun…Evaluating the Performance of International Mutual Funds (1990)Evaluating the Performance of…Portfolio Performance Evaluation: Old Issues and New Insights (1989)Portfolio Performance Evaluat…Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Mutual Fund Performance Evalu…Performance measurement with the arbitrage pricing theory (1986)Performance measurement with …Combining Probability Distributions: A Critique and an Annotated Bibliography (1986)Combining Probability Distrib…AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE (1978)AMBIGUITY WHEN PERFORMANCE IS…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios (1969)Risk, The Pricing of Capital …THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…Mutual Fund Performance (1966)Mutual Fund PerformanceEstimation of a microfounded herding model on German survey expectations (2007)Estimation of a microfounded …Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Forecast Verification (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)Conditional Skewness in Asset Pricing Tests (2000)… and the Cross-Section of Expected Returns (2015)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Gain, Loss, and Asset Pricing (2000)Which Factors Matter to Investors? Evidence from Mutual Fund Flows (2016)Decision Analysis: Introductory Lectures on Choices Under Uncertainty. (1969)Agreeing to Disagree (1976)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Combining Probability Distributions From Experts in Risk Analysis (1999)Trust Management for the Semantic Web (2003)Probabilistic Forecasting (2014)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)The Performance of Mutual Funds in the Period 1945-1964 (1968)The arbitrage theory of capital asset pricing (1976)Random matrix approach to cross correlations in financial data (2002)Testing for a unit root in panels with dynamic factors (2004)Panels with Nonstationary Multifactor Error Structures (2006)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Performance Hypothesis Testing with the Sharpe and Treynor Measures (1981)Time-varying conditional covariances in tests of asset pricing models (1989)Measuring abnormal performance (1992)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Returns from Investing in Equity Mutual Funds 1971 to 1991 (1995)An Engine, Not a Camera (2006)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 2012How to Rate Management of Investment Funds1,603 cited
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  • 1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios941 cited
  • 1999Dependence Measures for Extreme Value Analyses802 cited
  • 1986Performance measurement with the arbitrage pricing theory715 cited
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  • 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons581 cited
  • 1994A Study of Monthly Mutual Fund Returns and Performance Evaluation Techniques474 cited
  • 1978AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE439 cited
  • 1997Elements of Forecasting413 cited
  • 1990Evaluating the Performance of International Mutual Funds399 cited
  • 1997

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Optimal Prediction Under Asymmetric Loss
342 cited

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  • 2007Estimation of a microfounded herding model on German survey expectations20 cited