Noël Amenc, Lionel Martellini, Daphné Sfeir: In this paper, we propose an integrated framework for assessing the risk-adjusted performance of mutual fund managers.
Professor of Finance, EDHEC Graduate School of Business
Assistant Professor of Finance, Marshall School of BusinessAssociate Researcher, EDHEC Graduate School of Business
Research Engineer, EDHEC Risk and Asset Management Research Centre
The methodology is designed so as to be consistent not only with modern portfolio theory but also with constraints imposed by practical implementation in a context where the presence of a variety of investment styles needs to be accounted for.
|Type :||Working paper|
|Date :||le 01/01/2002|
|Pôle de recherche||Finance|