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Portfolio Performance Measurement: a No Arbitrage Bounds Approach

✍ Scribed by Dong-Hyun Ahn; H. Henry Cao; Stéphane Chrétien


Book ID
111059215
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
559 KB
Volume
15
Category
Article
ISSN
1354-7798

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In finance, portfolio performance assessment is an important area of research. The two popular indices of performance are the Jensen's alpha and the Sharpe index. However there are a number of shortcomings of the above measures that have been highlighted in the literature. We propose a new measure o