Generalized 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: 12 Apr 2019
Date Written: March 30, 1980
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
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