Dynamic alpha : a spectral decomposition of investment performance across time horizons
Year of publication: |
2019
|
---|---|
Authors: | Chaudhuri, Shomesh E. ; Lo, Andrew W. |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 65.2019, 9, p. 4440-4450
|
Subject: | investments | performance attribution | portfolio management | alpha | spectral analysis | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Performance-Messung | Performance measurement | Investmentfonds | Investment Fund | CAPM |
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