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Ambiguity when Performance is Measured by the Securities Market Line

Roll, Richard (1978) Ambiguity when Performance is Measured by the Securities Market Line. Journal of Finance, 33 (4). pp. 1051-1069. ISSN 0022-1082. doi:10.1111/j.1540-6261.1978.tb02047.x.

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Imagine an idealized analog to the activities of professional money managers, a contest whose rules are as follows: (a) Each contestant selects a portfolio from a specified set of individual assets. (b) Returns are observed on the assets. (c) After each period of return observation, the portfolios are re-balanced to the initial selections. (d) After an interval consisting of several periods, "winners" and "losers" are declared for that interval. (e) Contestants choose a new portfolio, or keep the old one, and the process (b) through (d) is repeated. (f) After several intervals, consistent winners are declared to be superior port- folio managers and consistent losers are declared inferior. In the absence of any consistency, everyone is declared non-superior.

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Additional Information:© 1978 the American Finance Association. Comments and suggestions by Alan Kraus, David Mayers, Stephen Ross and Eduardo Schwartz are gratefully acknowledged.
Issue or Number:4
Record Number:CaltechAUTHORS:20190506-142755778
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Official Citation:Roll, R. (1978), AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE. The Journal of Finance, 33: 1051-1069. doi:10.1111/j.1540-6261.1978.tb02047.x
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:95258
Deposited By: Tony Diaz
Deposited On:06 May 2019 21:44
Last Modified:16 Nov 2021 17:11

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