Conditional performance evaluation and style analysis: The case of hedge funds and managed futures
The inability of traditional models to account for time-varying estimates has led to conditional models being adopted for performance evaluation. In this dissertation I use the conditional models of Ferson and Schadt [1996] and Christopherson, Ferson and Glassman [1998] and the CISDM Alternative Inv...
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| Language: | ENG |
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ScholarWorks@UMass Amherst
2005
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| Online Access: | https://scholarworks.umass.edu/dissertations/AAI3179879 |