A model-free identification of relative risk

DOI10.1016/J.ECONLET.2020.109078zbMATH Open1437.91408OpenAlexW3012392044MaRDI QIDQ2180745

Olga Kuzmina

Publication date: 14 May 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109078

zbMATH Keywords

performance evaluationfactor modelshedge fundsperformance attributionunobserved risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Common risk factors in the returns on stocks and bonds

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