IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v50y2018i40p4318-4327.html
   My bibliography  Save this article

An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey

Author

Listed:
  • Yongjae Lee
  • Do-Gyun Kwon
  • Woo Chang Kim
  • Frank J. Fabozzi

Abstract

We propose an implementable portfolio performance evaluation procedure that compares a portfolio with respect to the portfolios constructed by an infinite number of Malkiel’s blindfolded monkeys, or equivalently the whole enumeration of all possible portfolios. We argue that this approach exhibits two main advantages. First, it does not require any benchmark portfolios because a portfolio is being compared to an infinite number of portfolios. Second, it is market condition invariant. Since the market conditions are already reflected in the portfolio performances of an infinite blindfolded monkeys, our measure of portfolio performances is invariant to volatile market conditions.

Suggested Citation

  • Yongjae Lee & Do-Gyun Kwon & Woo Chang Kim & Frank J. Fabozzi, 2018. "An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey," Applied Economics, Taylor & Francis Journals, vol. 50(40), pages 4318-4327, August.
    • Handle: RePEc:taf:applec:v:50:y:2018:i:40:p:4318-4327
    DOI: 10.1080/00036846.2018.1444263
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2018.1444263
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2018.1444263?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yongjae Lee & Woo Chang Kim & Jang Ho Kim, 2020. "Achieving Portfolio Diversification for Individuals with Low Financial Sustainability," Sustainability, MDPI, vol. 12(17), pages 1-16, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:50:y:2018:i:40:p:4318-4327. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.