In this work the precision of point and interval estimators for some performance measures for risky financial assets is analyzed and the conditions under which the point estimators are asymptotically normally distributed are provided. The findings of this research suggest that a huge number of observations is needed to get reasonably precise point and interval estimates. Therefore, the considered performance measures may be surely employed as descriptive statistics for ex-post performance comparisons but they should be employed with caution in ex-ante evaluations for investment choices.

DE CAPITANI, L., Pasquazzi, L. (2015). Inference for performance measures for financial assets. METRON, 73(1), 73-98 [10.1007/s40300-014-0055-y].

Inference for performance measures for financial assets

DE CAPITANI, LUCIO
;
PASQUAZZI, LEO
2015

Abstract

In this work the precision of point and interval estimators for some performance measures for risky financial assets is analyzed and the conditions under which the point estimators are asymptotically normally distributed are provided. The findings of this research suggest that a huge number of observations is needed to get reasonably precise point and interval estimates. Therefore, the considered performance measures may be surely employed as descriptive statistics for ex-post performance comparisons but they should be employed with caution in ex-ante evaluations for investment choices.
Articolo in rivista - Articolo scientifico
Central limit theorem for dependent data, Coverage accuracy, Mixing condition, Financial performance ratio
English
2015
73
1
73
98
none
DE CAPITANI, L., Pasquazzi, L. (2015). Inference for performance measures for financial assets. METRON, 73(1), 73-98 [10.1007/s40300-014-0055-y].
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/53461
Citazioni
  • Scopus 4
  • ???jsp.display-item.citation.isi??? 3
Social impact