References

This folder holds the following references to publications, sorted by year and author.

There are 49 references in this bibliography folder.

Eling, M, Farinelli, S, Rossello, D, and Tibiletti, L (2011).
One-size or Tailor-made Performance Ratios for Ranking Hedge Funds?
Journal of Derivatives and Hedge Funds, 16:267–277.

Cogneau, P and Hubner, G (2009).
The (more than) 100 Ways to Measure Portfolio Performance: Part 2: Special Measures and Comparison
Journal of Performance Measurement, 14(1).

Cogneau, P and Hubner, G (2009).
The (more than) 100 Ways to Measure Portfolio Performance. Part 1: Standardized Risk-Adjusted Measures
Journal of Performance Measurement, 13(4).

DeMiguel, V, Garlappi, L, and Uppal, R (2009).
Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?
Review of Financial Studies, 22(5):1915-1953.

Farinelli, S, Ferreira, M, Rossello, D, Thoeny, M, and Tibiletti, L (2009).
Optimal Asset Allocation Aid System: From "One-size" vs "Taylor-made" performance Ratio
European Journal of Operational Research, 192:209–215..

Eling, M (2008).
Does the Measure Matter in the Mutual Fund Industry?
Financial Analyst Journal, 64(3):54–66.

Farinelli, S, Ferreira, M, Rossello, D, Thoeny, M, and Tibiletti, L (2008).
Beyond Sharpe Ratio: Optimal Asset Allocation Using Different Performance Ratios
Journal of Banking & Finance, 32(10):2057-2063.

Eling, M and Schuhmacher, F (2007).
Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?
Journal of Banking & Finance, 31(9):2632-2647.

LeSourd, V (2007).
Performance Measurment for Traditional investment
Financial Analyst Journal, 58(4):36-52.

Avramov, D and Chordia, T (2006).
Asset Pricing Models and Financial Market Anomalies
Review of Financial Studies, 19(3):1001-1040.

Gemmill, G, Hwang, S, and Salmon, M (2006).
Performance Measurement with Loss Aversion
Journal of Asset Management, 7(3):190–207.

Ortobelli, S, Rachev, S, Stoyanov, S, Fabozzi, F, and Biglova, A (2005).
The Proper Use Of Risk Measures In Portfolio Theory
International Journal of Theoretical and Applied Finance (IJTAF), 8(08):1107-1133.

Biglova, A, Ortobelli, S, Rachev, S, and Stoyanov, S (2004).
Different Approaches to Risk Estimation in Portfolio Theory
Journal of Portfolio Management, 31(1):103–112.

Kaplan, P and Knowles, J (2004).
Kappa: A Generalized Downside Risk-Adjusted Performance Measure
Miscellaneous publication, Morningstar Associates and York Hedge Fund Strategies.

Sharma, M (2004).
AIRAP - Alternative RAPMs for Alternative Investments
Journal of Investment Management, 3(4).

Aftalion, F and Poncet, P (2003).
Les techniques de mesure de performance
, Paris.

Hwang, S and Salmon, M (2003).
An Analysis of Performance Measures Using Copulae
In: Performance Measurement in Finance: Firms, Funds and Managers, ed. by Knigth, J. and Satchell, S., Butterworth-Heinemann Finance. Quantitative Finance Series.

Pedersen, C and Rudholm-Alfvin, T (2003).
Selecting a Risk-adjusted Shareholder Performance Measure
Journal of Asset Management, 4(3):152–172.

Rachev, S, Martin, D, and Siboulet, F (2003).
Phi-alpha Optimal Portfolios and Extreme Risk Management
Wilmott Magazine of Finance(November):70–83.

Tibiletti, L and Farinelli, S (2003).
Upside and Downside Risk with a Benchmark
Atlantic Economic Journal, 31(4):387-387.

Knigth, J and Satchell, S (2002).
Performance Measurement in Finance: Firms, Funds and Managers
Butterworth-Heinemann Finance. Quantitative Finance Series.

Shadwick, W and Keating, C (2002).
A Universal Performance Measure
Journal of Performance Measurement, 6(3):59-84.

Barberis, N, Huang, M, and Santos, T (2001).
Prospect Theory And Asset Prices
The Quarterly Journal of Economics, 116(1):1-53.

Cont, R (2001).
Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues
Quantitative Finance, 1(2):223–236.

Sortino, F (2001).
Managing Downside Risk in Financial Markets
Butterworth-Heinemann Finance, Oxford.