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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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Publication status:
Published

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Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2011-09-01
Paper number:
567
Keywords:
Pubs id:
1143873
Local pid:
pubs:1143873
Deposit date:
2020-12-15

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