Investing in equity mutual funds
Опубликовано на портале: 03-10-2003
Journal of Financial Economics.
2002.
Vol. 63.
No. 3.
P. 351-380.
Тематические разделы:
Authors construct optimal portfolios of equity funds by combining historical returns
on funds and passive indexes with prior views about asset pricing and skill. By including
both benchmark and nonbenchmark indexes, authors distinguish pricing-model inaccuracy
from managerial skill. Modest confidence in a pricing model helps construct portfolios
with high Sharpe ratios. Investing in active mutual funds can be optimal even for
investors who believe managers cannot outperfofm passive indexes. Optimal portfolios
exclude hot-hand funds even for investors who believe momentum is priced. Our large
universe of funds offers no close substitutes for the Fama-French and momentum benchmarks.
Ссылки
текст статьи доступен для скачивания в формате PDF на персональной странице Lubos:
http://gsbwww.uchicago.edu/fac/lubos.pastor/research/
http://gsbwww.uchicago.edu/fac/lubos.pastor/research/invest_jfe.pdf
Полный текст в формате pdf
[301 КБ]
[301 КБ]
Ключевые слова
См. также:
Journal of Financial and Quantitative Analysis.
1987.
Vol. 22.
No. 3.
P. 353-363.
[Статья]
American Economic Review.
1990.
Vol. 80.
No. 2.
P. 38-42.
[Статья]
[Учебная программа]
Review of Economic Dynamics.
2007.
Vol. 10.
No. 4.
P. 761-779.
[Статья]
Journal of Financial Economics.
1998.
Vol. 49.
No. 1.
P. 3-43.
[Статья]