Analysing assets’ performance inside a portfolio: From crossed beta to the net risk premium ratio
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Haim Shalit & Shlomo Yitzhaki, 2010.
"How does beta explain stochastic dominance efficiency?,"
Review of Quantitative Finance and Accounting, Springer, vol. 35(4), pages 431-444, November.
- Haim Shalit & Shlomo Yitzhaki, 2008. "How Does Beta Explain Stochastic Dominance Efficiency?," Working Papers 0813, Ben-Gurion University of the Negev, Department of Economics.
- Jensen, Michael C, 1969. "Risk, The Pricing of Capital Assets, and the Evaluation of Investment Portfolios," The Journal of Business, University of Chicago Press, vol. 42(2), pages 167-247, April.
- Haim Shalit & Shlomo Yitzhaki, 2005. "The Mean‐Gini Efficient Portfolio Frontier," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(1), pages 59-75, March.
- Jonas Gusset & Heinz Zimmermann, 2014. "Why not use SDF rather than beta models in performance measurement?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 307-336, November.
- S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi, 2007. "Optimal Financial Portfolios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 401-436.
- Anthony Loviscek, 2015. "“The lost decade”: an MPT perspective," Managerial Finance, Emerald Group Publishing, vol. 41(11), pages 1202-1220, November.
- Yitzhaki, Shlomo, 1982. "Stochastic Dominance, Mean Variance, and Gini's Mean Difference," American Economic Review, American Economic Association, vol. 72(1), pages 178-185, March.
- Shalit, Haim & Yitzhaki, Shlomo, 1984.
"Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets,"
Journal of Finance, American Finance Association, vol. 39(5), pages 1449-1468, December.
- Shalit, Haim & Yitzhaki, Shlomo, 1982. "Mean-Gini, Portfolio Theory and the Pricing of Risky Assets," Working Papers 232569, Hebrew University of Jerusalem, Center for Agricultural Economic Research.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Farinelli, Simone & Tibiletti, Luisa, 2008. "Sharpe thinking in asset ranking with one-sided measures," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1542-1547, March.
- Wayne E. Ferson, 2010. "Investment Performance Evaluation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 207-234, December.
- John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
- Fernando Gómez-Bezares & Fernando R. Gómez-Bezares & David McMillan, 2015. "Don’t use quotients to calculate performance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1065584-106, December.
- Schuhmacher, Frank & Eling, Martin, 2012. "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2077-2082.
- Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(4), pages 1851-1872, September.
- Heber Farnsworth, 2002. "Performance Evaluation with Stochastic Discount Factors," The Journal of Business, University of Chicago Press, vol. 75(3), pages 473-504, July.
- Carina Gerstenberger & Daniel Vogel, 2015. "On the efficiency of Gini’s mean difference," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(4), pages 569-596, November.
- Heber Farnsworth & Wayne E. Ferson & David Jackson & Steven Todd, 2002. "Performance Evaluation with Stochastic Discount Factors," NBER Working Papers 8791, National Bureau of Economic Research, Inc.
More about this item
StatisticsAccess and download statistics
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:oaefxx:v:5:y:2017:i:1:p:1270251. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/OAEF20 .
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.
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.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.