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Performancemessung mittels Sharpe-, Jensen- und Treynor-Maß: Eine Ergänzung

Author

Listed:
  • Breuers Wolfgang

    (Dr. rer. pol., Universitätsprofessor an der Technischen Hochschule Aachen)

  • Gürtler Marc

    (Dr. rer. pol., Wissenschaftlicher Assistent an der Technischen Hochschule Aachen)

Abstract

Von Breuer/Gürtler wurden bereits vor kurzem (ZBB 1999, 273) auf der Grundlage eines portfoliotheoretischen Ansatzes für μ-σ- Präferenzen die Einsatzbereiche der klassischen Perfortnancemaße von Sharpe und Jensen sowie einer Modifikation der Treynor- Black-Appraisal-Ratio hergeleitet. Der Beitrag ergänzt diese Aussagen um die Begründung des klassischen Treynor-Maßes und der einfachen Treynor-Black-Appraisal-Ratio. Des weiteren wird eine Systematisierung der Anwendungsbereiche von Sharpe-, Jensenund Treynor-Maß sowie der Treynor-Black-Appraisal-Ratio im Rahmen des generellen Portfolioselektionsproblems eines Investors präsentiert.

Suggested Citation

  • Breuers Wolfgang & Gürtler Marc, 2000. "Performancemessung mittels Sharpe-, Jensen- und Treynor-Maß: Eine Ergänzung," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 12(3), pages 168-176, June.
    • Handle: RePEc:bpj:zfbrbw:v:12:y:2000:i:3:p:168-176:n:3
    DOI: 10.15375/zbb-2000-0303
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