Browsing by Author "Zarubina, N."
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Long-short equity portfolios: performance evaluation of multi-dimensial strategies
Zarubina, N. (БНТУ, 2019)The main objective of the research is to estimate the backtested performance of multidimensional equity long-short strategies, which were constructed based on a combination of different signals (fundamental indica-tors). An evaluation of performance is conducted using the appropriate t-tests (derived by Novy-Marx, "Backtesting Strategies Based on Multiple Signals" [2015]) by ...2020-03-27