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Potential performance and tests of portfolio efficiency · Study

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ArticlePotential performance and tests of portfolio efficiency

John David Jobson1982

Article1982

Potential performance and tests of portfolio efficiency

John David Jobson

266 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 1958Liquidity Preference as Behavior Towards Risk 1972Capital Market Equilibrium with Restricted Borrowing 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1972The capital asset pricing model: Some empirical tests 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*1980An Empirical Investigation of the Arbitrage Pricing Theory 1981Performance Hypothesis Testing with the Sharpe and Treynor Measures

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2007Estimating and testing beta pricing models: Alternative methods and their performance in simulations☆1987Multivariate proxies and asset pricing relations 1990The integration of the real estate market and the stock market: Some preliminary evidence 1987Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas 1988Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory

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Year1982

Typearticle

Published1982-12-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations266

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(82)90019-8

openalex_workW2007231976

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2019

Using Stocks or Portfolios in Tests of Factor Models

1992Tests of integration, mild segmentation and segmentation hypotheses

2000A Portfolio Performance Index