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Conditional performance, portfolio rebalancing, and momentum of small-cap mutual funds

✍ Scribed by Larry Gorman


Book ID
117716415
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
127 KB
Volume
12
Category
Article
ISSN
1058-3300

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In finance, portfolio performance assessment is an important area of research. The two popular indices of performance are the Jensen's alpha and the Sharpe index. However there are a number of shortcomings of the above measures that have been highlighted in the literature. We propose a new measure o