Portfolio Performance Manipulation and Manipulation-Proof Performance Measures
Over 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
|Date of creation:||01 Mar 2002|
|Date of revision:||01 Apr 2006|
|Contact details of provider:|| Web page: http://icf.som.yale.edu/|
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- Wayne E. Ferson, 2001. "The Efficient Use of Conditioning Information in Portfolios," Journal of Finance, American Finance Association, vol. 56(3), pages 967-982, 06.
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