Effects of Measurement Errors on Systematic Risk and Performance Measure of a Portfolio

DOI10.1142/9789811202391_0062zbMath1454.91226OpenAlexW3086457331MaRDI QIDQ5139485

Cheng-Few Lee, Frank C. Jen

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0062

zbMATH Keywords

performance measuremeasurement errorsystematic riskdecomposition of estimated regression coefficientprobability limit for regression coefficient

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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