Phân tích tư tưởng của nhân dân qua đoạn thơ: Những người vợ nhớ chồng… Những cuộc đời đã hóa sông núi ta trong Đất nước của Nguyễn Khoa Điềm
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The aim of this paper is to compare pricing and performance of mutual
funds with two types of guarantees: a lookback guarantee and an interest
rate guarantee. In a simulation analysis of different portfolios based on
stock, bond, real estate and money market indexes, we first calibrate
guarantee costs to be the same for both investment guarantee funds. Second,
their performance is contrasted, measured with the Sharpe ratio, omega
and Sortino ratio, and a test with respect to first-, second- and third-order
stochastic dominance is provided. We further investigate the impact of the
underlying fund’s strategy, first looking at a conventional fund having a
constant average rate of return...
Nội dung trích xuất từ tài liệu:
Pricing and performance of mutual funds: lookback versus interest rate guarantees
