Different risk-adjusted fund performance measures: a comparison
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More about this item
Keywords
Mutual funds; performance measures; Value-at-Risk; extreme value theory;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2010-01-16 (Risk Management)
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