A note on why doesn't the choice of performance measure matter?
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DOI: 10.1016/j.frl.2015.12.001
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- León, Angel & Navarro, Lluís & Nieto, Belén, 2019. "Screening rules and portfolio performance," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 642-662.
- Cuizhen Niu & Wing-Keung Wong & Qunfang Xu, 2017. "Kappa ratios and (higher-order) stochastic dominance," Risk Management, Palgrave Macmillan, vol. 19(3), pages 245-253, August.
- Niu, Cuizhen & Wong, Wing-Keung & Xu, Qunfang, 2017. "Higher-Order Risk Measure and (Higher-Order) Stochastic Dominance," MPRA Paper 75948, University Library of Munich, Germany.
- Auer, Benjamin R., 2018. "A note on Guo and Xiao's (2016) results on monotonic functions of the Sharpe ratio," Finance Research Letters, Elsevier, vol. 24(C), pages 289-290.
- León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
- Richard Lu & Adrian (Wai Kong) Cheung & Vu T. Hoang & Sardar M. N. Islam, 2021. "Which measure of systematic risk should we use? An empirical study on systematical risk and Treynor measure using the economic index of riskiness and operational measure of riskiness," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1739-1744, April.
- Lu, Jin-Ray & Li, Xiu-Yan, 2021. "Identifying the fair value of Sharpe ratio by an option valuation approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 63-70.
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More about this item
Keywords
Performance measurement; Rank correlation; Sharpe ratio; Fund evaluation;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
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