This paper proposes a new rule for risk adjustment and performance evaluation. This rule is a generalization of the well-known Sharpe ratio criterion, and under normal conditions enables a manager to correctly assess alternative risky investments. The rule is superior to existing rules such as the standard Sharpe rule and the RAROC, and can make a substantia
In this paper using the expected utility theory and the approxi-mation analysis we derive a formula ...
The objective of this work is to verify the implicit risk preferences in the use of riskadjusted per...
International audiencePerformance analysis is a key process in finance to evaluate or compare invest...
This paper proposes a new rule for risk adjustment and performance evaluation. This rule is a genera...
Abstract. Risk adjustment of returns and performance measurement is of great interest to financial i...
Researchers and investors are concerned with the shortcomings of various measures of portfolio manag...
The modified Sharpe ratio is commonly used to evaluate the risk-adjusted performance of an investmen...
In this article we study the relation between performance measures and preferences functions. In par...
Non normality in asset returns is now a common feature of financial markets. However, many practitio...
Several criteria that produce rankings of risk management alternatives are evaluated. The criteria ...
The classical mean-variance investment model is simple, elegant, and popular. As such, it is also su...
The development of alternative investment has highlighted the limitations of standard performance me...
[[abstract]]Investors are seeking the portfolio which has higher return and lower risk in the portfo...
We study effects of using Sharpe ratio as a performance measure for compensating money managers in a...
Risk estimation is crucial in investment decisions. Several risk measures have been suggested to tak...
In this paper using the expected utility theory and the approxi-mation analysis we derive a formula ...
The objective of this work is to verify the implicit risk preferences in the use of riskadjusted per...
International audiencePerformance analysis is a key process in finance to evaluate or compare invest...
This paper proposes a new rule for risk adjustment and performance evaluation. This rule is a genera...
Abstract. Risk adjustment of returns and performance measurement is of great interest to financial i...
Researchers and investors are concerned with the shortcomings of various measures of portfolio manag...
The modified Sharpe ratio is commonly used to evaluate the risk-adjusted performance of an investmen...
In this article we study the relation between performance measures and preferences functions. In par...
Non normality in asset returns is now a common feature of financial markets. However, many practitio...
Several criteria that produce rankings of risk management alternatives are evaluated. The criteria ...
The classical mean-variance investment model is simple, elegant, and popular. As such, it is also su...
The development of alternative investment has highlighted the limitations of standard performance me...
[[abstract]]Investors are seeking the portfolio which has higher return and lower risk in the portfo...
We study effects of using Sharpe ratio as a performance measure for compensating money managers in a...
Risk estimation is crucial in investment decisions. Several risk measures have been suggested to tak...
In this paper using the expected utility theory and the approxi-mation analysis we derive a formula ...
The objective of this work is to verify the implicit risk preferences in the use of riskadjusted per...
International audiencePerformance analysis is a key process in finance to evaluate or compare invest...