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Browsing Recerca: working papers, informes, etc. by Subject "jensen's alpha"

Browsing Recerca: working papers, informes, etc. by Subject "jensen's alpha"

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  • Peñaranda, Francisco (2009-01-01)
    We show that unconditionally efficient returns do not achieve the maximum unconditional Sharpe ratio, neither display zero unconditional Jensen s alphas, when returns are predictable. Next, we define a new type of efficient ...

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