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Management Performance Measures Based on Portfolio Returns’ Standard Deviation – Are They Applicable in a Low Liquidity Market Environment?

Author

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  • Petar Atanasov

    (University of National and World Economy, Sofia, Bulgaria)

Abstract

The aim of this article is to analyze the distorting effect of low liquidity on the management performance measures based on overall risk, measured by the standard or semi-standard deviation of portfolio returns – Sharpe Measure, Sortino Ratio, etc.

Suggested Citation

  • Petar Atanasov, 2010. "Management Performance Measures Based on Portfolio Returns’ Standard Deviation – Are They Applicable in a Low Liquidity Market Environment?," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 79-94, July.
    • Handle: RePEc:nwe:eajour:y:2010:i:2:p:79-94
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    More about this item

    Keywords

    overall risk; Sharp Measure; Sortino Ratio; probability distribution of returns; standard deviation; semi-standard deviation; skewness; liquidity; VaR-analysis;
    All these keywords.

    JEL classification:

    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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