A survey on the four families of performance measures
M Caporin, GM Jannin, F Lisi… - Journal of Economic …, 2014 - Wiley Online Library
Performance measurement is one of the most studied subjects in financial literature. Since
the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared …
the introduction of the Sharpe ratio in 1966, a large variety of new measures has appeared …
DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure
Data envelopment analysis (DEA) has been a widely used methodology for evaluating the
relative performance of portfolios. Extensive work has appeared for realizing the role of DEA …
relative performance of portfolios. Extensive work has appeared for realizing the role of DEA …
Risk measures for hedge funds: a cross‐sectional approach
This paper analyses the risk‐return trade‐off in the hedge fund industry. We compare semi‐
deviation, value‐at‐risk (VaR), Expected Shortfall (ES) and Tail Risk (TR) with standard …
deviation, value‐at‐risk (VaR), Expected Shortfall (ES) and Tail Risk (TR) with standard …
Value at risk and the cross-section of hedge fund returns
Using two large hedge fund databases, this paper empirically tests the presence and
significance of a cross-sectional relation between hedge fund returns and value at risk …
significance of a cross-sectional relation between hedge fund returns and value at risk …
The dynamic Black–Litterman approach to asset allocation
RDF Harris, E Stoja, L Tan - European Journal of Operational Research, 2017 - Elsevier
Abstract We generalize the Black–Litterman (BL) portfolio management framework to
incorporate time-variation in the conditional distribution of returns in the asset allocation …
incorporate time-variation in the conditional distribution of returns in the asset allocation …
Hedging and value at risk
RDF Harris, J Shen - … of Futures Markets: Futures, Options, and …, 2006 - Wiley Online Library
In this article, it is shown that although minimum‐variance hedging unambiguously reduces
the standard deviation of portfolio returns, it can increase both left skewness and kurtosis; …
the standard deviation of portfolio returns, it can increase both left skewness and kurtosis; …
[PDF][PDF] The choice of performance measure does influence the evaluation of hedge funds
V Zakamouline - Available at SSRN, 2010 - Citeseer
It is widely accepted that, when return distributions are non-normal, the use of the Sharpe
ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund …
ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund …
Stability in mutual fund performance rankings: A new proposal
Market investors use financial performance measures to determine, often ex post, fund
managers' investment ability and identify the fund managers who are best suited to …
managers' investment ability and identify the fund managers who are best suited to …
Hedging and value at risk: A semi‐parametric approach
Z Cao, RDF Harris, J Shen - Journal of Futures Markets …, 2010 - Wiley Online Library
The non‐normality of financial asset returns has important implications for hedging. In
particular, in contrast with the unambiguous effect that minimum‐variance hedging has on …
particular, in contrast with the unambiguous effect that minimum‐variance hedging has on …
A novel hybrid strategy for crude oil future hedging based on the combination of three minimum-CVaR models
K Su, Y Yao, C Zheng, W Xie - International Review of Economics & …, 2023 - Elsevier
Effective and robust crude oil hedging strategies are becoming increasingly important for
investors. However, due to the differences between data characteristics, the choice of model …
investors. However, due to the differences between data characteristics, the choice of model …