Evaluating style analysis
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- Nijman, Theo E & ter Horst, Jenke & de Roon, Frans, 2002. "Evaluating Style Analysis," CEPR Discussion Papers 3181, C.E.P.R. Discussion Papers.
- de Roon, F.A. & Nijman, T.E. & Ter Horst, J.R., 2000. "Evaluating Style Analysis," Discussion Paper 2000-64, Tilburg University, Center for Economic Research.
References listed on IDEAS
- Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
- repec:bla:jfinan:v:55:y:2000:i:4:p:1655-1703 is not listed on IDEAS
- Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998. "Performance analysis of international mutual funds incorporating market frictions," Other publications TiSEM df378e85-9563-4738-b36a-4, Tilburg University, School of Economics and Management.
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- Tae-Hwan Kim, 2005.
"Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights,"
Journal of Financial Econometrics, Oxford University Press, vol. 3(3), pages 315-343.
- Kim, Tae-Hwan & White, Halbert & Stone, Douglas, 2000. "Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights," University of California at San Diego, Economics Working Paper Series qt5h98h28m, Department of Economics, UC San Diego.
- Treynor, Jack L & Black, Fischer, 1973. "How to Use Security Analysis to Improve Portfolio Selection," The Journal of Business, University of Chicago Press, vol. 46(1), pages 66-86, January.
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"Mutual fund styles,"
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- William N. Goetzmann & Stephen J. Brown, 1998. "Mutual Fund Styles," Yale School of Management Working Papers ysm40, Yale School of Management.
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- Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
- Fung, William & Hsieh, David A, 1997. "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 275-302.
- DeRoon, Frans A. & Nijman, Theo E., 2001.
"Testing for mean-variance spanning: a survey,"
Journal of Empirical Finance, Elsevier, vol. 8(2), pages 111-155, May.
- de Roon, F.A. & Nijman, T.E., 1998. "Testing for mean-variance spanning : A survey," Discussion Paper 1998-132, Tilburg University, Center for Economic Research.
- Ter Horst, J.R. & Nijman, T.E. & de Roon, F.A., 1998. "Performance analysis of international mutual funds incorporating market frictions," Discussion Paper 1998-51, Tilburg University, Center for Economic Research.
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More about this item
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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