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A Cross-Sectional Performance Measure for Portfolio Management

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Academic year: 2021

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Table 1: The set {γ 1 , γ 2 , γ 3 , γ 4 , γ 5 , γ 6 } is the set of the LSEW portfolios that can be built in a market of 4 assets, here {A, B, C, D}.
Figure 1: Representation of ¯ S with respect to k, the approximation of the score of an LSEW portfolio whose return is k times the return of the optimal portfolio, as introduced in (8), in a simulated market of 10 assets whose returns are independent and i
Figure 2: Representation of ¯ S with respect to k, as defined in (8), for three different investment strategies: the LSEW strategy, the 130/30 strategy and the Hamming strategy
Figure 3: Comparison of the Q-Q plots obtained by plotting the empirical distribution of the returns of the 10 Datastream world sectorial indices pooled all together against a fitted Gaussian distribution (in the left plot) and against a fitted NIG distrib
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