Article ID Journal Published Year Pages File Type
5089777 Journal of Banking & Finance 2012 11 Pages PDF
Abstract
► We use the Aumann-Serrano index to introduce an new performance measure. ► The new performance measure respects stochastic dominance. ► If returns are close to normal the ranking is close to Sharpe ratio ranking. ► We provide parametric and non-parametric estimation techniques. ► We illustrate our measure using mutual and hedge funds data.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Beyond the Sharpe ratio: An application of the Aumann-Serrano index to performance measurement
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