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Active and Passive Investing: Understanding Samuelson’s Dictum
[A noisy rational expectations equilibrium for multi-asset securities markets]

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  • Nicolae Gârleanu
  • Lasse Heje Pedersen
Abstract
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  • Nicolae Gârleanu & Lasse Heje Pedersen, 2022. "Active and Passive Investing: Understanding Samuelson’s Dictum [A noisy rational expectations equilibrium for multi-asset securities markets]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(2), pages 389-446.
    • Handle: RePEc:oup:rasset:v:12:y:2022:i:2:p:389-446.
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    File URL: http://hdl.handle.net/10.1093/rapstu/raab020
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    References listed on IDEAS

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    7. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2015. "Scale and skill in active management," Journal of Financial Economics, Elsevier, vol. 116(1), pages 23-45.
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    Cited by:

    1. Brière, Marie & Simar, Léopold & Szafarz, Ariane & Vanhems, Anne, 2023. "Sensitivity to measurement errors of the distance to the efficient frontier," LIDAM Discussion Papers ISBA 2023017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Levkov Nikola & Bogoevska-Gavrilova Irena & Trajkovska Milica, 2022. "Profile and Financial Behaviour of Crypto Adopters – Evidence from Macedonian Population Survey," South East European Journal of Economics and Business, Sciendo, vol. 17(2), pages 172-185, December.
    3. Said Kaawach & Oskar Kowalewski & Oleksandr Talavera, 2023. "Automatic vs Manual Investing: Role of Past Performance," Discussion Papers 23-04, Department of Economics, University of Birmingham.

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