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Referenzpunktbezogene risikoadjustierte Performancemaße: Theoretische Grundlagen

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  • Albrecht, Peter

    (Sonderforschungsbereich 504)

  • Klett, Timo

    (Sonderforschungsbereich 504)

Abstract

The present contribution deals with a consistent and general foundation of target-based risk-adjusted performance measures. First of all measures of shortfall risk and upside reward are introduced to establish a basis for discussing the corresponding risk-adjusted performance measures afterwards. Thereby the authors concentrate on Omega- and Psi-Performance Measures. They present their most important properties and their connection with other risk-adjusted performance measures like the (Generalized) Downside Performance Ratio, the Upside Potential Ratio or the Sortino-Ratio. Finally first and second order Omega- and Psi-Performance Measures are derived for the normal distribution, the lognormal distribution and the Weibull distribution.

Suggested Citation

  • Albrecht, Peter & Klett, Timo, 2004. "Referenzpunktbezogene risikoadjustierte Performancemaße: Theoretische Grundlagen," Sonderforschungsbereich 504 Publications 04-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    • Handle: RePEc:xrs:sfbmaa:04-10
    Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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    File URL: http://www.sfb504.uni-mannheim.de/publications/dp04-10.pdf
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    Cited by:

    1. Bessler, Wolfgang & Drobetz, Wolfgang & Henn Overbeck, Jacqueline, 2005. "Hedge Funds: Die Königsdisziplin" der Kapitalanlage," Working papers 2005/04, Faculty of Business and Economics - University of Basel.

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