Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds
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This paper combines the use of portfolio holdings data and conditioning information to create a new performance measure. Our conditional weight-based measure has several advantages. Using conditioning information avoids biases in weight-based measures as discussed by Grinblatt and Titman (1993).
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美国国家经济研究局创建时间：
2002-02-01
