A Cross-Sectional Performance Measure for Portfolio Management
نویسندگان
چکیده
منابع مشابه
A Cross-Sectional Performance Measure for Portfolio Management
Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate: (1) they are relative to a peer’s performance and (2) the best score is generally assumed to correspond to a “good” portfolio allocation, with no guarantee on the goodness of this allocation. Last but not least (3) t...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.2055135