The Numeraire Portfolio Approach in Bond Portfolio Performance Evaluation

Jia-Ning Kang

Working Papers from Rochester, Business - Ph.D.,

Abstract: This thesis examines theoretical and empirical issues in evaluating the performance of bond portfolios, and develops a methodology to measure bond portfolio performance, using Long's numeraire portfolio. This measure defines the geometric difference between a portfolio's return and the return on a numeraire portfolio as the abnormal return of the portfolio.

Keywords: FINANCIAL; ASSETS (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 211 pages
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:fth:robuph:82

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