On the Jensen Measure and Marginal Improvements in Portfolio Performance: A Note
Article Abstract:
Methodgy is developed to identify the performance contribution of one or more assets in a portfolio. Using a generalized Jensen index and a multivariate market model, assets may be scored for performance and rated. Portfolio improvement is easily computable.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1984
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1984
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Negative Cash Flows, Duration, and Immunization: A Note
Article Abstract:
Traditional thinking on the effects of a bond's duration effect on immunization is cancelled. Immunization does not hold if a portfolio generates both, cash inflow and overflow. Portfolio rebalancing is required.
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1984
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1984
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Subjects list: Management, Investments
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