The Outperformance Probability of Mutual Funds

Autor: Ferdinand Huber, Gabriel Frahm

Publikováno v: Journal of Risk and Financial Management, Vol 12, Iss 3, p 108 (2019)
Journal of Risk and Financial Management
Volume 12
Issue 3

We propose the outperformance probability as a new performance measure, which can be used in order to compare a strategy with a specified benchmark, and develop the basic statistical properties of its maximum-likelihood estimator in a Brownian-motion

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc0d68024dcab7142d2fac983a68400f
https://doi.org/10.3390/jrfm12030108