Modified Mean-Variance Risk Measures for Long-Term Portfolios
نویسندگان
چکیده
منابع مشابه
Beyond Mean-variance: Risk and Performance Measures for Portfolios with Nonsymmetric Return Distributions
Most practitioners measure investment performance based on the CAPM, determining portfolio "alphas" or Sharpe Ratios. But the validity of this analysis rests on the validity of the CAPM, which assumes either normally distributed (and therefore symmetric) returns, or mean-variance preferences. Both assumptions are suspect: even if asset returns were normally distributed, the returns of options o...
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Most practitioners measure investment performance based on the CAPM, determining portfolio"alphas" or Sharpe Ratios. But the validity of this analysis rests on the validity of the CAPM, whichassumes either normally distributed (and therefore symmetric) returns, or mean-variance preferences.Both assumptions are suspect: even if asset returns were normally distributed, the returns of ...
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ژورنال
عنوان ژورنال: Mathematics
سال: 2021
ISSN: 2227-7390
DOI: 10.3390/math9020111