| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089859 | Journal of Banking & Finance | 2012 | 6 Pages |
Abstract
⺠We analyze commonly used two-parameter performance measures. ⺠These include partial-moments-, value-at-risk-based and many other performance ratios. ⺠We prove that all these measures are a strictly increasing function in the Sharpe ratio. ⺠We base our result on the locations-scale- and two other plausible and mild conditions. ⺠This result provides a decision-theoretic foundation for all these popular measures.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Frank Schuhmacher, Martin Eling,