Risk-Adjusted Performance Measures and Implied Risk-Attitudes

Different Risk-Adjusted Fund Performance Measures: A Comparison

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen’s alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk (VaR), would be more appropriate. Standard VaR assumes that returns are normally distributed, though th...

Risk-Adjusted Underwriting Performance Measurement

To measure economic profits generated by an insurance policy during its life time, we compare the terminal assets of the policy account with certain breakeven value. Policies with mutil-year loss payments and income tax payments are studied. The breakeven value of terminal assets is given in closed form, and shown to be an increasing function of the claims risk and the asset investment risk. Pr...

Risk-adjusted probability measures in portfolio optimization with coherent measures of risk

We consider the problem of optimizing a portfolio of n assets, whose returns are described by a joint discrete distribution. We formulate the mean–risk model, using as risk functionals the semideviation, deviation from quantile, and spectral risk measures. Using the modern theory of measures of risk, we derive an equivalent representation of the portfolio problem as a zero-sum matrix game, and ...

Risk-Adjusted Performance of Mutual Funds

T he number of mutual funds has grown dramatically in recent years. The Financial Research Corporation data base, the source of data for this article, lists 7,734 distinct mutual fund portfolios. Mutual funds are now the preferred way for individual investors and many institutions to participate in the capital markets, and their popularity has increased demand for evaluations of fund performanc...

Nonparametric Risk Management and Implied Risk Aversion