PortfolioManagementandPerformanceEvaluation(高级公司财务—投资组合管理和绩效评估—英文版课件).pptVIP

* The 4-Index Model Of Performance Evaluation Elton, Gruber and Blake (JB1996) Model: Rit is the excess return on fund i in the month t Rspt is the excess return on the SP 500 index in month t Rslt is the difference in return between small-cap and large-cap stock portfolio RBt is the excess return on a bond index in month t ?ik the sensitivity of excess return on fund I to excess return on index k (k =SP, SL, GV, B) RGvt is the difference in return between a growth and value stock portfolio based on Prudential Bache indices in month t εit is the random error in month t. * Carhart’s