The Effects of the Sample Size, the Investment Horizon and the Market Conditions on the Validity of Composite Performance Measures: A Generalization

DOI10.1142/9789811202391_0068zbMath1451.91172OpenAlexW3085904772MaRDI QIDQ5139496

Cheng-Few Lee, Son-Nan Chen

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: http://hdl.handle.net/2142/29317

zbMATH Keywords

sample sizeinvestment horizonSharpe, Treynor and Jensen measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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