STABILITY OF MUTUAL FUND SYSTEMATIC-RISK STATISTICS

被引:6
作者
FRANCIS, JC
FABOZZI, FJ
机构
[1] CUNY BERNARD M BARUCH COLL, NEW YORK, NY 10010 USA
[2] HOFSTRA UNIV, HEMPSTEAD, NY 11550 USA
关键词
D O I
10.1016/0148-2963(80)90014-4
中图分类号
F [经济];
学科分类号
02 ;
摘要
引用
收藏
页码:263 / 275
页数:13
相关论文
共 43 条
[1]  
BENZION U, 1975, J FINANC, V30, P1015
[2]   ASSESSMENT OF RISK [J].
BLUME, ME .
JOURNAL OF FINANCE, 1971, 26 (01) :1-10
[3]   BETAS AND THEIR REGRESSION TENDENCIES [J].
BLUME, ME .
JOURNAL OF FINANCE, 1975, 30 (03) :785-795
[4]  
CAMPANELLA FB, 1972, MEASUREMENT PORTFOLI
[5]   OPTIMAL PORTFOLIO REVISION POLICY [J].
CHEN, AHY ;
JEN, FC ;
ZIONTS, S .
JOURNAL OF BUSINESS, 1971, 44 (01) :51-61
[6]   TESTS OF AN ADAPTIVE REGRESSION MODEL [J].
COOLEY, TF ;
PRESCOTT, EC .
REVIEW OF ECONOMICS AND STATISTICS, 1973, 55 (02) :248-256
[7]  
DUCAN DB, 1972, J AM STAT ASSOC, V67, P815
[8]   BETA AS A RANDOM COEFFICIENT [J].
FABOZZI, FJ ;
FRANCIS, JC .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1978, 13 (01) :101-116
[9]  
FAMA EF, 1976, F FINANCE, pCH1
[10]   TEST FOR A SHIFTING SLOPE COEFFICIENT IN A LINEAR MODEL [J].
FARLEY, JU ;
HINICH, MJ .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1970, 65 (331) :1320-&