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