Download This PaperGeneralized Functional Form for Mutual Fund Returns
JOURNAL OF FINANCIAL & QUANTITATIVE ANALYSIS, 1980 December, XV(5), pages 1107-1120
15 Pages Posted: 1 Apr 2015 Last revised: 3 Apr 2015
Date Written: March 30, 1980
Abstract
Jensen developed a well-known portfolio performance evaluation measure. Subsequently, Jensen formulated a return-generating model to measure portfolio performance. Lee proposed a generalized specification of the model. This paper investigates the implications of the generalized return-generating model developed by Jensen and Lee.
Keywords: Jensen portfolio performance measure, return-generating model
Suggested Citation: Suggested Citation
Frank J. Fabozzi
Johns Hopkins University - Carey Business School ( email )
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Jack Clark Francis (Contact Author)
Zicklin School of Business, Baruch College ( email )
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