Measuring performance in a dynamic world: Conditional mean-variance fundamentals
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- Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018.
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- Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin, 2015. "On the (Ab)Use of Omega?," Working Papers 2015:02, Department of Economics, University of Venice "Ca' Foscari".
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- Berger, Dave & Turtle, H.J., 2011. "Emerging market crises and US equity market returns," Global Finance Journal, Elsevier, vol. 22(1), pages 32-41.
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- Turtle, H.J. & Zhang, Chengping, 2012. "Time-varying performance of international mutual funds," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 334-348.
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Keywords
Conditional performance measurement Conditional mean-variance analysis Conditional Jensen's alpha;Statistics
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