To adjust for risk, Baber and Odean's paper on Overtrading considers what they call an own...
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To adjust for risk, Baber and Odean's paper on Overtrading considers what they call an "own benchmark." a) [2 points] Is there a type of trader / trading strategy for which this benchmark would consistently underestimate risk-adjusted returns, or consistently overestimate them? If no, explain why not. If yes, provide an example. b) [2 points] Barber and Odean also use standard CAPM and Fama-French intercepts to estimate risk-adjusted returns. What is the main downside of these measures? To adjust for risk, Baber and Odean's paper on Overtrading considers what they call an "own benchmark." a) [2 points] Is there a type of trader / trading strategy for which this benchmark would consistently underestimate risk-adjusted returns, or consistently overestimate them? If no, explain why not. If yes, provide an example. b) [2 points] Barber and Odean also use standard CAPM and Fama-French intercepts to estimate risk-adjusted returns. What is the main downside of these measures?
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a Yes there are types of traderstrading strategies for which the own benchmark would consistently un... View the full answer
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Operations management processes and supply chain
ISBN: 978-0136065760
9th edition
Authors: Lee J Krajewski, Larry P Ritzman, Manoj K Malhotra
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