Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
AbstractOver the years numerous portfolio performance measures have been proposed. In general they are designed to capture some particular enhancement that might result from active management. However, if a principal uses a measure to judge an agent, then the agent has an incentive to game the measure. Our paper sh
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Bibliographic InfoPaper provided by Yale School of Management in its series Yale School of Management Working Papers with number amz2471.
Date of creation: 01 Mar 2002
Date of revision: 01 Apr 2006
Other versions of this item:
- Jonathan Ingersoll & Ivo Welch, 2007. "Portfolio Performance Manipulation and Manipulation-proof Performance Measures," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1503-1546, 2007 17.
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