Search results for "Modigliani risk-adjusted performance"

showing 2 items of 2 documents

Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance

2009

The main purpose of this paper is to present a theoretically sound portfolio performance measure that takes into account higher moments of the distribution of returns. First, we perform a study of the investor's preferences to higher moments of distribution within expected utility theory and discuss the performance measurement. To illustrate the investor's preferences to higher moments and the computation of a performance measure, we provide an approximation analysis of the optimal capital allocation problem and derive a formula for the Sharpe ratio adjusted for skewness of distribution. This performance measure justifies the notion of the Generalized Sharpe Ratio (GSR) introduced by Hodges…

Economics and EconometricsSharpe ratioNonparametric statisticsVariance (accounting)Measure (mathematics)Normal-inverse Gaussian distributionModigliani risk-adjusted performanceSkewnessComputer Science::Computational Engineering Finance and ScienceEconomicsKurtosisEconometricsPortfolioFinanceExpected utility hypothesisMathematicsParametric statisticsJournal of Banking & Finance
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Mean‐Variance Portfolio Optimization

2010

Modigliani risk-adjusted performanceFinancial economicsDiversification (finance)EconomicsMean variancePost-modern portfolio theoryPortfolio optimizationModern portfolio theoryPractical Financial Optimization
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