A minimum variance benchmark to measure the performance of pension funds in Mexico
We propose the use of the minimum variance portfolio as weighting method in a strategy benchmark for pension funds performance in Mexico. By performing three discrete event simulations with daily data from January 2002 to May 2013, we test this benchmark’s weighting method against the Max Sharpe rat...
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| Vydáno v: | Contaduría y Administración |
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| Hlavní autoři: | , , , |
| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Universidad Nacional Autónoma de México
2015
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| Témata: | |
| On-line přístup: | https://www.redalyc.org/articulo.oa?id=39540681006 |
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