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Article: Portfolio Performance Measurement: Theory and Applications

TitlePortfolio Performance Measurement: Theory and Applications
Authors
Issue Date1996
Citation
Review of Financial Studies, 1996, v. 9, n. 2, p. 511-555 How to Cite?
AbstractAny admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial. Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive admissible measure exists if and only if there is no arbitrage. This article characterizes the (infinite) set of admissible performance measures. It is shown that performance evaluation is generally quite arbitrary. A mutual fund data set is also used to demonstrate how the measurement method developed here can be applied.
Persistent Identifierhttp://hdl.handle.net/10722/212680
ISSN
2015 Impact Factor: 3.119
2015 SCImago Journal Rankings: 9.925

 

DC FieldValueLanguage
dc.contributor.authorChen, Zhiwu-
dc.contributor.authorKnez, Peter J.-
dc.date.accessioned2015-07-28T04:04:40Z-
dc.date.available2015-07-28T04:04:40Z-
dc.date.issued1996-
dc.identifier.citationReview of Financial Studies, 1996, v. 9, n. 2, p. 511-555-
dc.identifier.issn0893-9454-
dc.identifier.urihttp://hdl.handle.net/10722/212680-
dc.description.abstractAny admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous, and nontrivial. Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive admissible measure exists if and only if there is no arbitrage. This article characterizes the (infinite) set of admissible performance measures. It is shown that performance evaluation is generally quite arbitrary. A mutual fund data set is also used to demonstrate how the measurement method developed here can be applied.-
dc.languageeng-
dc.relation.ispartofReview of Financial Studies-
dc.titlePortfolio Performance Measurement: Theory and Applications-
dc.typeArticle-
dc.description.natureLink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-0030540877-
dc.identifier.volume9-
dc.identifier.issue2-
dc.identifier.spage511-
dc.identifier.epage555-

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