Marco Wilkens

University of Augsburg

Professor

Universitaetsstr. 16

Augsburg, 86159

Germany

http://www.wiwi.uni-augsburg.de/bwl/wilkens/team/wilkens_marco/

SCHOLARLY PAPERS

44

DOWNLOADS
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8,427

CITATIONS
Rank 20,076

SSRN RANKINGS

Top 20,076

in Total Papers Citations

15

Scholarly Papers (44)

1.

Estimating the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data

Number of pages: 37 Posted: 06 Mar 2008 Last Revised: 17 Jun 2011
University of Passau, Deutsche Bundesbank, University of Augsburg and Barclays
Downloads 1,069 (19,049)

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Interest rate risk, accounting-based approach, banking supervision, model evaluation

2.

Carbon Risk

Number of pages: 65 Posted: 10 Mar 2017 Last Revised: 01 Mar 2019
University of Augsburg, University of Augsburg, University of Augsburg, Smith School of Business, University of Augsburg and University of Augsburg
Downloads 913 (24,037)

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Carbon risk, climate finance, climate change, economic transition, asset pricing

3.

Valuation Differences between Credit Default Swap and Corporate Bond Markets

Journal of Credit Risk, Vol. 9, No. 4, pp. 3-46, 2013
Number of pages: 44 Posted: 14 Aug 2010 Last Revised: 07 Jan 2014
Oliver Entrop, Richard Schiemert and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt and University of Augsburg
Downloads 806 (28,706)

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credit default swap, credit risk, corporate bond, stochastic intensity model

4.

The Sharpe Ratio's Market Climate Bias: Theoretical and Empirical Evidence from US Equity Mutual Funds

Journal of Asset Management, Vol. 13, No. 4, August 2012, pp. 227-242
Number of pages: 1 Posted: 26 Jan 2006 Last Revised: 31 Jul 2012
Reutlingen University - ESB Business School, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 676 (36,498)
Citation 1

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Performance evaluation, equity mutual funds, Sharpe ratio, bear market, market conditions

5.

Non-Maturing Assets and Liabilities of Banks: Valuation and Risk Measurement

22nd Australasian Finance and Banking Conference 2009
Number of pages: 40 Posted: 24 Aug 2009
University of Passau, Catholic University of Eichstaett-Ingolstadt, Deutsche Bundesbank and University of Augsburg
Downloads 579 (44,832)

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Interest rate risk, term structure model, interest rate pass-through, banking supervision, German financial institutions

6.

Jensen’s Alpha and the Market Timing Puzzle

Review of Financial Economics, Forthcoming
Number of pages: 40 Posted: 25 Aug 2008 Last Revised: 20 Aug 2018
Reutlingen University - ESB Business School, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 541 (48,855)

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Mutual fund performance; stock selection; market timing; total performance; conditional performance

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Number of pages: 17 Posted: 18 Jan 2001
Rainer Baule and Marco Wilkens
University of Hagen and University of Augsburg
Downloads 495 (54,074)
Citation 4

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Lean Trees, Lattice Models, Option Pricing, Numerical Valuation Techniques

Lean Trees - a General Approach for Improving Performance of Lattice Models for Option Pricing

Review of Derivatives Research Vol. 7, pp. 53-72, 2004
Posted: 13 May 2004
Rainer Baule and Marco Wilkens
University of Hagen and University of Augsburg

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Lean trees, lattice models, option pricing, numerical valuation techniques

8.

Maturity Transformation Strategies and Interest Rate Risk of Financial Institutions: Evidence from the German Market

Number of pages: 23 Posted: 26 Jul 2007
Hendrik Scholz, Stephan K.H. Simon and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg, McKinsey & Company and University of Augsburg
Downloads 488 (55,696)

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maturity transformation, interest rate risk, financial institutions, liquidity preference hypothesis

9.

The Pricing Policy of Banks for Exchange-Traded Leverage Certificates: Interday and Intraday Effects

Number of pages: 40 Posted: 08 Feb 2011 Last Revised: 20 May 2013
Oliver Entrop, Alexander Schober and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 289 (102,543)

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Leverage Certificate, Life Cycle Hypothesis, Pricing Behavior, Gap Risk, Order Flow

10.

Bond Fund Disappearance: What’s Return Got to Do with it?

Number of pages: 47 Posted: 18 Jun 2011 Last Revised: 14 May 2012
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 281 (105,635)
Citation 1

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fund disappearance, bond mutual fund performance, survivorship bias

11.

Spread Risk Premia in Corporate Credit Default Swap Markets

Credit and Capital Markets, Vol. 47, No. 4, pp. 571-610, 2014
Number of pages: 44 Posted: 18 Nov 2011 Last Revised: 16 Mar 2016
Oliver Entrop, Richard Schiemert and Marco Wilkens
University of Passau, Catholic University of Eichstaett-Ingolstadt and University of Augsburg
Downloads 274 (108,558)

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credit default swap, default risk premium, default event risk premium, spread risk premium, mark-to-market risk premium, stochastic intensity model

12.

Maturity-Matched Bond Fund Performance

Number of pages: 43 Posted: 02 Dec 2016 Last Revised: 26 Mar 2019
Markus Natter, Martin Rohleder and Marco Wilkens
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 247 (120,885)

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Bond funds, performance, maturity-mismatch, yield curve, persistence, low beta

13.

Diseconomies of Scale, Information Processing and Hierarchy Costs: Evidence from Asset Management

Number of pages: 35 Posted: 18 Mar 2017 Last Revised: 20 Apr 2018
University of Virginia - Darden School of Business, University of Augsburg, University of Augsburg - Department of Finance and Banking and University of Augsburg
Downloads 220 (135,628)

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Diseconomies of scale, quantitative, fundamental, performance, flows, hierarchy costs, information processing, separate accounts, institutional investing

14.

Mutual Fund Stock-Picking Skill: New Evidence from Valuation versus Liquidity-Motivated Trading

Financial Management 2018, 47(2), 309-347
Number of pages: 44 Posted: 26 Nov 2015 Last Revised: 13 Jun 2018
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 219 (136,195)

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Mutual fund trading, valuation, liquidity, skill, flow risk, wisdom of crowds

15.

Success and Failure on the Corporate Bond Fund Market

Journal of Asset Management 19(6), 429-443.
Number of pages: 43 Posted: 02 Aug 2014 Last Revised: 28 Mar 2019
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 216 (137,980)

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Corporate bond funds, performance, disappearance and survival, fund size, flow

16.

What drives Performance in the Speculative Market of Short-term Exchange-traded Retail Products?

Number of pages: 55 Posted: 29 Aug 2012 Last Revised: 01 Jul 2016
University of Passau, University of Passau, University of Augsburg and University of Augsburg
Downloads 210 (141,767)

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Leverage Certificate; Warrant; Financial Innovation; Retail Investor

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Deutsche Bundesbank Discussion Paper 56/2013
Number of pages: 47 Posted: 17 Feb 2014
Deutsche Bundesbank, University of Passau, Deutsche Bundesbank and University of Augsburg
Downloads 174 (168,440)

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Duration gap, Interest rate swaps, Selective hedging

Market Timing, Maturity Mismatch, and Risk Management: Evidence from the Banking Industry

Bundesbank Discussion Paper No. 56/2013
Number of pages: 47 Posted: 21 Jun 2016
Deutsche Bundesbank, University of Passau, Deutsche Bundesbank and University of Augsburg
Downloads 33 (453,946)

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Duration gap, Interest rate swaps, Selective hedging

18.

Looking Beyond Banks’ Average Interest Rate Risk: Determinants of High Exposures

Quarterly Review of Economics and Finance, Forthcoming
Number of pages: 41 Posted: 15 Apr 2014 Last Revised: 15 Apr 2016
Oliver Entrop, Ludwig von la Hausse and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 134 (209,399)

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interest rate risk, banks, tail exposures, financial crisis

19.

The Valuation of Deposit Insurance in an Arbitrage-free Basel II Consistent Framework

Number of pages: 50 Posted: 06 Mar 2007
Oliver Entrop and Marco Wilkens
University of Passau and University of Augsburg
Downloads 116 (233,753)

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deposit insurance, loan portfolio, maturity gap, structural model

20.

Open-End Knock-Outs on Bond Futures: Valuation, Properties and Estimation of Hidden Profit Drivers

Number of pages: 47 Posted: 22 Apr 2014
Oliver Entrop, Christian Peters and Marco Wilkens
University of Passau, University of Augsburg and University of Augsburg
Downloads 106 (249,214)

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structured products, knock-out, price setting, German market, rollover

21.

Evaluating the Performance of Hedge Funds Using Two-Stage Peer Group Benchmarks

Number of pages: 34 Posted: 18 Jul 2014
University of Augsburg, University of Sydney - Business School - Finance Discipline, University of Tasmania and University of Augsburg
Downloads 80 (298,408)

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Hedge Funds, Performance Measurement, Factor Models, Peer Group Benchmarks

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Bundesbank Discussion Paper No. 17/2012
Number of pages: 56 Posted: 21 Jun 2016
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg
Downloads 58 (359,761)

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Interest rate risk, Interest margins, Maturity transformation

Determinants of Bank Interest Margins: Impact of Maturity Transformation

Journal of Banking and Finance, Vol. 54, 2015, pp. 1-19
Posted: 07 Jul 2012 Last Revised: 06 Feb 2015
University of Passau, Deutsche Bundesbank, Deutsche Bundesbank and University of Augsburg

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term transformation, interest rate risk, optimal loan, deposit intermediation fees

23.

Analyzing the Interest Rate Risk of Banks Using Time Series of Accounting-Based Data: Evidence from Germany

Bundesbank Series 2 Discussion Paper No. 2008,01
Number of pages: 48 Posted: 08 Jun 2016
University of Passau, Deutsche Bundesbank, University of Augsburg and Barclays
Downloads 52 (373,187)
Citation 1

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German financial institutions, interest rate risk, accounting-based approach, maturity transformation, banking supervision, model evaluation

24.

Internet Appendix of the Paper 'Jensen's Alpha and the Market Timing Puzzle'

Review of Financial Economics, Forthcoming
Number of pages: 10 Posted: 30 Nov 2016 Last Revised: 12 Mar 2018
Reutlingen University - ESB Business School, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 41 (411,164)

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Conditional performance evaluation; time-varying investment skill

25.

Shedding Light on the Exposure of Mutual Funds – Which Investments Drive Mutual Fund Characteristics?

Number of pages: 32 Posted: 10 Apr 2019
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 30 (456,723)

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equity mutual funds, risk, performance, derivatives, complex investments, holdings

26.

Bond Mutual Funds and Complex Investments

Journal of Asset Management 2017, 18(6), 433-456
Number of pages: 43 Posted: 15 Mar 2016 Last Revised: 18 Mar 2018
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 27 (471,426)

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Mutual fund performance, bond funds performance, derivatives interest rate futures

27.

Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences

Review of Finance 2011, 15 (2), 441-474
Number of pages: 53 Posted: 08 Mar 2008 Last Revised: 18 Mar 2018
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 23 (492,893)
Citation 4

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Mutual Fund Performance, Survivorship Bias

28.

Management of Flow Risk in Mutual Funds

Review of Quantitative Finance and Accounting 2017, 45(1), 31-56.
Number of pages: 46 Posted: 03 Apr 2014 Last Revised: 18 Mar 2018
Martin Rohleder, Dominik Schulte and Marco Wilkens
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 17 (526,863)

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Mutual fund performance, mutual fund flows, derivatives

29.

Systemic Interest Rate and Market Risk at U.S. Banks

Journal of Business Economics (ZfB) 2016, 86 (8), 933-961
Number of pages: 36 Posted: 26 Nov 2015 Last Revised: 18 Mar 2018
University of Augsburg, University of Augsburg and University of Augsburg
Downloads 6 (591,828)

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interest rate risk, market risk, banks, banking system

Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

European Financial Management, Vol. 15, Issue 5, pp. 1001-1018, November 2009
Number of pages: 18 Posted: 21 Oct 2009
Oliver Entrop and Marco Wilkens
University of Passau and University of Augsburg
Downloads 4 (632,203)
Citation 1
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Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

European Financial Management, Forthcoming
Posted: 26 Feb 2008 Last Revised: 22 Apr 2009
Oliver Entrop, Alexander Zeisler and Marco Wilkens
University of Passau, Barclays and University of Augsburg

Abstract:

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interest rate risk, Basel Capital Accord, banking supervision, standardized interest rate shock

31.

Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany

European Financial Management, Vol. 16, Issue 1, pp. 124-154, January 2010
Number of pages: 31 Posted: 28 Dec 2009
Marc-Gregor Czaja, Hendrik Scholz and Marco Wilkens
Allianz Investment Management, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 2 (621,440)
Citation 3
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32.

The Benefits of Option Use by Mutual Funds

Journal of Financial Intermediation 2016, 26, 142-168
Number of pages: 57 Posted: 24 Sep 2014 Last Revised: 28 Mar 2019
University of Augsburg, University of Augsburg, University of Augsburg and University of Augsburg
Downloads 1 (633,452)

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Mutual funds, performance, options, hedging

33.

Market Makers’ Optimal Price-Setting Policy for Exchange-Traded Certificates

Journal of Banking and Finance, Vol. 71, 2016, 206-226
Posted: 05 Dec 2014 Last Revised: 25 Jul 2016
University of Passau, University of Passau, The University of Sydney - Discipline of Finance and University of Augsburg

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Structured Products, Structured Notes, Leverage Certificates, Pricing Behavior, Monopoly Pricing Model

34.

Individual Investors and Suboptimal Early Exercises in the Fixed-Income Market

Posted: 10 Sep 2014
Mathias Eickholt, Oliver Entrop and Marco Wilkens
University of Passau, University of Passau and University of Augsburg

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decision strategy, decision costs, transaction costs, putable bond

35.

What Makes Individual Investors Exercise Early? Empirical Evidence from Non-Tradable Fixed-Income Products

Journal of Banking and Finance, 97, 2018, 318-334
Posted: 05 Apr 2014 Last Revised: 05 Nov 2018
Mathias Eickholt, Oliver Entrop and Marco Wilkens
University of Passau, University of Passau and University of Augsburg

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early exercise, failure to exercise, liquidity demand, putable bond

36.

How Does Pricing Affect Investors’ Product Choice? Evidence from the Market for Discount Certificates

Journal of Banking and Finance, Vol. 68, 195-215
Posted: 31 Mar 2014 Last Revised: 24 Apr 2016
University of Passau, University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

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Structured products, Derivatives, Investor behavior, Product pricing

37.

The Performance of Individual Investors in Structured Financial Products

Review of Quantitative Finance and Accounting, Vol. 46, No. 3, 2016, pp. 569-604
Posted: 16 Dec 2012 Last Revised: 16 Mar 2016
University of Passau, The University of Sydney - Discipline of Finance, University of Augsburg and University of Augsburg

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structured products, derivatives, complexity, financial innovation, investor behavior

38.

Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?

Journal of Banking and Finance, Vol. 43, 2014
Posted: 21 Jun 2011 Last Revised: 28 Mar 2014
Bernhard Breloer, Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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International Equity Funds, Global Equity Funds, Country Momentum, Sector Momentum, Fund Performance, Fund Ranking

39.

A Jigsaw Puzzle of Basic Risk-Adjusted Performance Measures

The Journal of Performance Measurement, Vol. 9, No. 3, pp. 57-64, Spring 2005
Posted: 18 Mar 2011
Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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portfolio performance evaluation, mutual funds, Sharpe ratio, Treynor ratio, RAP

40.

Credit Risk and Bank Margins in Structured Financial Products: Evidence from the German Secondary Market for Discount Certificates

Journal of Futures Markets, Vol. 28, No. 4, pp. 376-397, 2008
Posted: 18 Mar 2008 Last Revised: 12 May 2008
Rainer Baule, Oliver Entrop and Marco Wilkens
University of Hagen, University of Passau and University of Augsburg

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Structured product, discount certificate, vulnerable option, credit risk margin

41.

The Price-Setting Behavior of Banks: An Analysis of Open-End Leverage Certificates on the German Market

Journal of Banking and Finance, Vol. 33, No. 5, pp. 874-882, 2009
Posted: 06 Mar 2008 Last Revised: 12 Aug 2010
Oliver Entrop, Hendrik Scholz and Marco Wilkens
University of Passau, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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Structured products, Certificates, Hedging, German market, Pricing

42.

The Performance of Investment Grade Corporate Bond Funds: Evidence from the European Market

European Journal of Finance, Vol. 15, No. 2, pp. 191-209, 2009
Posted: 27 Jul 2006 Last Revised: 13 Aug 2010
Leif Holger Dietze, Oliver Entrop and Marco Wilkens
Catholic University of Eichstaett-Ingolstadt, University of Passau and University of Augsburg

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performance measurement, European corporate bond market, investment grade corporate bond mutual funds, multi-index model, asset-class-factor model, Generalized Treynor Ratio

43.

Interest Rate Risk of German Financial Institutions - the Impact of Level, Slope, and Curvature of the Term Structure

Review of Quantitative Finance and Accounting, Vol. 33, pp. 1-26, 2009
Posted: 30 Jun 2006 Last Revised: 17 Jun 2010
Marc-Gregor Czaja, Hendrik Scholz and Marco Wilkens
Allianz Investment Management, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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German financial institutions, interest rate sensitivity, term structure, Nelson-Siegel approach

44.

Investor-Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio

The International Journal of Finance, 2005, Vol. 17, No. 4, pp. 3671-3691
Posted: 09 Jun 2004 Last Revised: 18 Mar 2011
Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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Mutual Funds, Performance Measurement, Sharpe Ratio, Treynor Ratio