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A Strategy-Proof Test of Portfolio Returns.

Abstract:

Traditional methods for analyzing portfolio returns often rely on multifactor risk assessment, and tests of significance are typically based on variants of the t-test. This approach has serious limitations when analyzing the returns from dynamically traded portfolios that include derivative positions, because standard tests of significance can be ‘gamed’ using options trading strategies. To deal with this problem we propose a test that assumes nothing about the structure of returns except t...

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Publisher copy:
10.1080/14697688.2012.678770

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Journal:
Quantitative Finance
Volume:
12
Issue:
5
Publication date:
2012-01-01
DOI:
URN:
uuid:4db5c354-e871-48dc-850a-8ec7bc28be86
Local pid:
oai:economics.ouls.ox.ac.uk:15390
Language:
English

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