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Lisi, Francesco (2008) Dicing with the market: randomized procedures for evaluation of mutual funds. [Working Paper] WORKING PAPER SERIES, 9/2008 . , PADOVA (Inedito)

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Abstract (english)

A statistically correct procedure for evaluating management skill in the mutual fund industry is described. The approach is based on random and semi-random portfolios and is completely data-driven, allowing reference to a specific benchmark or to peer-groups to be avoided. Rather, it produces a new benchmark, which represents the minimum level of performance that skilled managament should reach. An application to some Italian equity funds is also given.

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EPrint type:Working Paper
Anno di Pubblicazione:May 2008
Key Words:performance evaluation, randomized procedures, random portfolios, mutual funds, benchmark.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7133
Depositato il:11 Sep 2014 16:53
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