LAUSR

Risk-free interest rates

Sign Up to like & get
recommendations!
0 Published in 2021 at "Journal of Financial Economics"

DOI: 10.1016/j.jfineco.2021.06.012

Abstract: Abstract We estimate risk-free interest rates unaffected by convenience yields on safe assets. We infer them from risky asset prices without relying on any specific model of risk. We obtain interest rates and implied convenience… read more here.

Keywords: convenience; risk free; interest; free interest ... See more keywords

Coherent portfolio performance ratios

Sign Up to like & get
recommendations!
0 Published in 2021 at "Quantitative Finance"

DOI: 10.1080/14697688.2020.1869293

Abstract: In Quantitative Finance 2016, Chen, Hu and Lin (CHL) claimed the following: ‘ … there is yet no coherent risk measure related to investment performance.’ (p. 682). Our paper suggests and analyzes four coherence axioms that portfolio… read more here.

Keywords: risk free; performance ratios; portfolio; finance ... See more keywords