@Book{AftalionPoncet2003,
author = {Aftalion, F and Poncet, P},
title = {Les techniques de mesure de performance},
year = {2003},
address = {Paris}
}
@Article{RePEc-oup-rfinst-v-19-y-2006-i-3-p-1001-1040,
author = {Avramov, D and Chordia, T},
title = {Asset Pricing Models and Financial Market Anomalies},
year = {2006},
URL = {http://ideas.repec.org/a/oup/rfinst/v19y2006i3p1001-1040.html},
journal = {Review of Financial Studies},
volume = {19},
number = {3},
pages = {1001-1040}
}
@Article{RePEc-tpr-qjecon-v-116-y-2001-i-1-p-1-53,
author = {Barberis, N and Huang, M and Santos, T},
title = {Prospect Theory And Asset Prices},
year = {2001},
month = {February},
URL = {http://ideas.repec.org/a/tpr/qjecon/v116y2001i1p1-53.html},
abstract = {This paper argues that the similarities between Ellsberg's and Shackle's frameworks for discussing the limits of the probabilistic approach to decision theory are more important than usually admitted. The paper discusses the grounds on which the ambiguity surrounding the decision-maker in Ellsberg's urn experiments can be deemed analogous to the uncertainty faced by Shackle's entrepreneur taking 'crucial decisions'. The two authors' insights are assessed, and special attention is paid to the criteria for decision under uncertainty they put forward. The paper establishes a link between Ellsberg's and Shackle's perspectives and the non-additive probability approach of Gilboa and Schmeidler, an approach that offers an alternative to standard probability calculus, which can be of use to analyse both ambiguity and uncertainty. The comparison between Ellsberg and Shackle draws on an interpretation of Keynes's Treatise on Probability emphasising Keynes's rejection of both well-defined probability functions and maximisation as a guide to human conduct. It is shown that Keynes's viewpoint implies a reconsideration of the boundaries of probability theory that is in the same vein of Ellsberg's and Shackle's concern in the years of the consolidation of Savage's new probabilistic mainstream. Copyright The Author 2009. Published by Oxford University Press on behalf of the Cambridge Political Economy Society. All rights reserved., Oxford University Press.},
journal = {The Quarterly Journal of Economics},
volume = {116},
number = {1},
pages = {1-53}
}
@Article{BiglovaEtAl2004,
author = {Biglova, A and Ortobelli, S and Rachev, S and Stoyanov, S},
title = {Different Approaches to Risk Estimation in Portfolio Theory},
year = {2004},
URL = {http://www.iijournals.com/doi/abs/10.3905/jpm.2004.443328},
journal = {Journal of Portfolio Management},
volume = {31},
number = {1},
pages = {103{\textendash}112}
}
@Article{Burke1994,
author = {Burke, G},
title = {A Sharper Sharpe Ratio},
year = {1994},
journal = {Fu},
volume = {23},
number = {3},
pages = {56}
}
@Article{CogneauHubner2009,
author = {Cogneau, P and Hubner, G},
title = {The (more than) 100 Ways to Measure Portfolio Performance. Part 1: Standardized Risk-Adjusted Measures},
year = {2009},
URL = {http://orbi.ulg.ac.be/handle/2268/2782},
journal = {Journal of Performance Measurement},
volume = {13},
number = {4}
}
@Article{CogneauHubner2009a,
author = {Cogneau, P and Hubner, G},
title = {The (more than) 100 Ways to Measure Portfolio Performance: Part 2: Special Measures and Comparison},
year = {2009},
URL = {http://orbi.ulg.ac.be/handle/2268/30494},
journal = {Journal of Performance Measurement},
volume = {14},
number = {1}
}
@Article{Cont2001,
author = {Cont, R},
title = {Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues},
year = {2001},
URL = {http://citeseer.ist.psu.edu/viewdoc/summary?doi=10.1.1.16.5992},
journal = {Quantitative Finance},
volume = {1},
number = {2},
pages = {223{\textendash}236}
}
@Article{RePEc-oup-rfinst-v-22-y-2009-i-5-p-1915-1953,
author = {DeMiguel, V and Garlappi, L and Uppal, R},
title = {Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?},
year = {2009},
month = {May},
URL = {http://ideas.repec.org/a/oup/rfinst/v22y2009i5p1915-1953.html},
abstract = {No abstract is available for this item.},
journal = {Review of Financial Studies},
volume = {22},
number = {5},
pages = {1915-1953}
}
@Article{Eling2008,
author = {Eling, M},
title = {Does the Measure Matter in the Mutual Fund Industry?},
year = {2008},
URL = {http://papers.ssrn.com/sol3/papers.cfm?abstract\_id=1266187},
journal = {Financial Analyst Journal},
volume = {64},
number = {3},
pages = {54{\textendash}66}
}
@Article{ElingEtAl2011,
author = {Eling, M and Farinelli, S and Rossello, D and Tibiletti, L},
title = {One-size or Tailor-made Performance Ratios for Ranking Hedge Funds?},
year = {2011},
URL = {http://www.palgrave-journals.com/jdhf/journal/v16/n4/full/jdhf201020a.html},
journal = {Journal of Derivatives and Hedge Funds},
volume = {16},
pages = {267{\textendash}277}
}
@Article{RePEc-eee-jbfina-v-31-y-2007-i-9-p-2632-2647,
author = {Eling, M and Schuhmacher, F},
title = {Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds?},
year = {2007},
month = {September},
URL = {http://ideas.repec.org/a/eee/jbfina/v31y2007i9p2632-2647.html},
journal = {Journal of Banking \& Finance},
volume = {31},
number = {9},
pages = {2632-2647}
}
@Article{FarinelliEtAl2009,
author = {Farinelli, S and Ferreira, M and Rossello, D and Thoeny, M and Tibiletti, L},
title = {Optimal Asset Allocation Aid System: From "One-size" vs "Taylor-made" performance Ratio},
year = {2009},
journal = {European Journal of Operational Research},
volume = {192},
pages = {209{\textendash}215.}
}
@Article{RePEc-eee-jbfina-v-32-y-2008-i-10-p-2057-2063,
author = {Farinelli, S and Ferreira, M and Rossello, D and Thoeny, M and Tibiletti, L},
title = {Beyond Sharpe Ratio: Optimal Asset Allocation Using Different Performance Ratios},
year = {2008},
month = {October},
URL = {http://ideas.repec.org/a/eee/jbfina/v32y2008i10p2057-2063.html},
abstract = {As the assumption of normality in return distributions is relaxed, classic Sharpe ratio and its descendants become questionable tools for constructing optimal portfolios. In order to overcome the problem, asymmetrical parameter-dependent performance ratios have been recently proposed in the literature. The aim of this note is to develop an integrated decision aid system for asset allocation based on a toolkit of eleven performance ratios. A multi-period portfolio optimization up covering a fixed horizon is set up: at first, bootstrapping of asset return distributions is assessed to recover all ratios calculations; at second, optimal rebalanced-weights are achieved; at third, optimal final wealth is simulated for each ratios. Eventually, we make a robustness test on the best performance ratios. Empirical simulations confirm the weakness in forecasting of Sharpe ratio, whereas asymmetrical parameter-dependent ratios, such as the Generalized Rachev, Sortino-Satchell and Farinelli-Tibiletti ratios show satisfactorily robustness.},
journal = {Journal of Banking \& Finance},
volume = {32},
number = {10},
pages = {2057-2063},
keywords = {Asset allocation Performance ratios One-sided measures Portfolio optimization}
}
@Article{RePEc-bla-jfinan-v-51-y-1996-i-2-p-425-61,
author = {Ferson, W.E and Schadt, R.W},
title = {Measuring Fund Strategy and Performance in Changing Economic Conditions},
year = {1996},
month = {June},
URL = {http://ideas.repec.org/a/bla/jfinan/v51y1996i2p425-61.html},
journal = {Journal of Finance},
volume = {51},
number = {2},
pages = {425-61}
}
@Article{1915,
author = {Fisher, R. A},
title = {Frequency Distribution of the Values of the Correlation Coefficient in Samples from an Indefinitely Large Population},
year = {1915},
URL = {http://www.jstor.org/stable/2331838},
journal = {Biometrika},
volume = {10},
number = {4},
pages = {pp. 507-521},
issn = {00063444}
}
@Article{GemmillEtAl2006,
author = {Gemmill, G and Hwang, S and Salmon, M},
title = {Performance Measurement with Loss Aversion},
year = {2006},
URL = {http://www.palgrave-journals.com/jam/journal/v7/n3/abs/2240213a.html},
journal = {Journal of Asset Management},
volume = {7},
number = {3},
pages = {190{\textendash}207}
}
@Incollection{HwangSalmon2003,
author = {Hwang, S and Salmon, M},
title = {An Analysis of Performance Measures Using Copulae},
year = {2003},
booktitle = {Performance Measurement in Finance: Firms, Funds and Managers},
editor = {Knigth, J. and Satchell, S.},
publication\_type = {type},
publisher = {Butterworth-Heinemann Finance},
series = {Quantitative Finance Series}
}
@Article{Jensen1968,
author = {Jensen, M},
title = {The Performance of Mutual Funds in the Period 1945-1968},
year = {1968},
URL = {http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.139.6166},
journal = {Journal of Finance},
volume = {23},
number = {2},
pages = {389{\textendash}416}
}
@Article{RePEc-ecm-emetrp-v-47-y-1979-i-2-p-263-91,
author = {Kahneman, D and Tversky, A},
title = {Prospect Theory: An Analysis of Decision under Risk},
year = {1979},
month = {March},
URL = {http://ideas.repec.org/a/ecm/emetrp/v47y1979i2p263-91.html},
abstract = {Since unification, the debate about Germany's poor economic performance has focused on supply-side weaknesses, and the associated reform agenda sought to make low-skill labour markets more flexible. We question this diagnosis using three lines of argument. First, effective restructuring of the supply side in the core advanced industries was carried out by the private sector using institutions of the coordinated economy, including unions, works councils and blockholder owners. Second, the implementation of orthodox labour market and welfare state reforms created a flexible labour market at the lower end. Third, low growth and high unemployment are largely accounted for by the persistent weakness of domestic aggregate demand, rather than by the failure to reform the supply side. Strong growth in recent years reflects the successful restructuring of the core economy. To explain these developments, we identify the external pressures on companies in the context of increased global competition, the continuing value of the institutions of the coordinated market economy to the private sector and the constraints imposed on the use of stabilizing macroeconomic policy by these institutions. We also suggest how changes in political coalitions allowed orthodox labour market reforms to be implemented in a consensus political system.},
journal = {Econometrica},
volume = {47},
number = {2},
pages = {263-91}
}
@Misc{KaplanKnowles2004,
author = {Kaplan, P.D and Knowles, J.A.},
title = {Kappa: A Generalized Downside Risk-Adjusted Performance Measure},
year = {2004},
month = {January},
URL = {http://corporate.morningstar.com/us/documents/MethodologyDocuments/ResearchPapers/KappaADownsideRisk\_AdjustedPerformanceMeasure\_PK.pdf},
howpublished = {Morningstar Associates and York Hedge Fund Strategies}
}
@Article{Kestner1996,
author = {Kestner, L.N},
title = {Getting a Handle on True Performance},
year = {1996},
URL = {http://www.allbusiness.com/personal-finance/investing-trading-futures/538174-1.html},
journal = {Futures},
volume = {25},
number = {1},
pages = {44{\textendash}46}
}
@Article{1991,
author = {Konno, H and Yamazaki, H},
title = {Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market},
year = {1991},
URL = {http://www.jstor.org/stable/2632458},
abstract = {The purpose of this paper is to demonstrate that a portfolio optimization model using the L$\_1$ risk (mean absolute deviation risk) function can remove most of the difficulties associated with the classical Markowitz's model while maintaining its advantages over equilibrium models. In particular, the L$\_1$ risk model leads to a linear program instead of a quadratic program, so that a large-scale optimization problem consisting of more than 1,000 stocks may be solved on a real time basis. Numerical experiments using the historical data of NIKKEI 225 stocks show that the L$\_1$ risk model generates a portfolio quite similar to that of the Markowitz's model within a fraction of time required to solve the latter.},
journal = {Management Science},
volume = {37},
number = {5},
pages = {pp. 519-531},
issn = {00251909}
}
@Article{LeSourd2007,
author = {LeSourd, V},
title = {Performance Measurment for Traditional investment},
year = {2007},
journal = {Financial Analyst Journal},
volume = {58},
number = {4},
pages = {36-52}
}
@Article{1965,
author = {Lintner, John},
title = {The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets},
year = {1965},
URL = {http://www.jstor.org/stable/1924119},
journal = {The Review of Economics and Statistics},
volume = {47},
number = {1},
pages = {pp. 13-37},
issn = {00346535}
}
@Book{Markowitz1959,
author = {Markowitz, H},
title = {Portfolio Selection: Efficient Diversification of Investments},
year = {1959},
publisher = {John Wiley}
}
@Article{ModiglianiModigliani1997,
author = {Modigliani, F and Modigliani, L},
title = {Risk-adjusted Performance {\textendash} How to Measure It and why},
year = {1997},
journal = {Journal of Portfolio Management},
volume = {23},
number = {23},
pages = {45-54}
}
@Article{RePEc-aea-aecrev-v-59-y-1969-i-5-p-749-56,
author = {Mossin, Jan},
title = {Security Pricing and Investment Criteria in Competitive Markets},
year = {1969},
month = {December},
URL = {http://ideas.repec.org/a/aea/aecrev/v59y1969i5p749-56.html},
journal = {American Economic Review},
volume = {59},
number = {5},
pages = {749-56}
}
@Article{RePEc-wsi-ijtafx-v-08-y-2005-i-08-p-1107-1133,
author = {Ortobelli, S and Rachev, S.T and Stoyanov, S and Fabozzi, F.J and Biglova, A},
title = {The Proper Use Of Risk Measures In Portfolio Theory},
year = {2005},
URL = {http://ideas.repec.org/a/wsi/ijtafx/v08y2005i08p1107-1133.html},
abstract = {This paper discusses and analyzes risk measure properties in order to understand how a risk measure has to be used to optimize the investor's portfolio choices. In particular, we distinguish between two admissible classes of risk measures proposed in the portfolio literature: safety-risk measures and dispersion measures. We study and describe how the risk could depend on other distributional parameters. Then, we examine and discuss the differences between statistical parametric models and linear fund separation ones. Finally, we propose an empirical comparison among three different portfolio choice models which depend on the mean, on a risk measure, and on a skewness parameter. Thus, we assess and value the impact on the investor's preferences of three different risk measures even considering some derivative assets among the possible choices.},
journal = {International Journal of Theoretical and Applied Finance (IJTAF)},
volume = {8},
number = {08},
pages = {1107-1133},
keywords = {Skewness; safety risk measures; risk aversion; dispersion measures; portfolio selection; invest}
}
@Article{PedersenRudholm-Alfvin2003,
author = {Pedersen, C.S and Rudholm-Alfvin, T},
title = {Selecting a Risk-adjusted Shareholder Performance Measure},
year = {2003},
URL = {http://www.palgrave-journals.com/jam/journal/v4/n3/abs/2240101a.html},
journal = {Journal of Asset Management},
volume = {4},
number = {3},
pages = {152{\textendash}172}
}
@Article{RachevEtAl2003,
author = {Rachev, S and Martin, D and Siboulet, F},
title = {Phi-alpha Optimal Portfolios and Extreme Risk Management},
year = {2003},
URL = {www.wilmott.com/pdfs/060530\_martin.pdf},
journal = {Wilmott Magazine of Finance},
number = {November},
pages = {70{\textendash}83}
}
@Article{ShadwickKeating2002,
author = {Shadwick, W.F and Keating, C},
title = {A Universal Performance Measure},
year = {2002},
journal = {Journal of Performance Measurement},
volume = {6},
number = {3},
pages = {59-84}
}
@Article{Sharma2004,
author = {Sharma, M},
title = {AIRAP - Alternative RAPMs for Alternative Investments},
year = {2004},
URL = {https://www.joim.com/abstract.asp?ArtID=116},
journal = {Journal of Investment Management},
volume = {3},
number = {4}
}
@Article{Sharpe1994,
author = {Sharpe, W.F},
title = {The Sharpe Ratio},
year = {1994},
URL = {http://www.stanford.edu/\~wfsharpe/art/sr/sr.htm},
journal = {Journal of Portfolio Management},
volume = {20},
number = {Fall},
pages = {45{\textendash}58}
}
@Article{Sharpe1992,
author = {Sharpe, W.F},
title = {Asset Allocation: Management Style and Performance Measurement},
year = {1992},
URL = {http://www.iijournals.com/doi/abs/10.3905/jpm.1992.409394},
journal = {Journal of Portfolio Management},
volume = {18},
number = {2},
pages = {7{\textendash}19},
doi = {DOI: 10.3905/jpm.1992.409394}
}
@Article{Sharpe1966,
author = {Sharpe, W.F},
title = {Mutual Fund Performance},
year = {1966},
URL = {http://finance.martinsewell.com/fund-performance/Sharpe1966.pdf},
journal = {Journal of Business},
volume = {39},
number = {1},
pages = {119{\textendash}138}
}
@Article{1964,
author = {Sharpe, W.F},
title = {Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk},
year = {1964},
URL = {http://www.jstor.org/stable/2977928},
journal = {The Journal of Finance},
volume = {19},
number = {3},
pages = {425-442}
}
@Book{Sortino2001,
author = {Sortino, F.A},
title = {Managing Downside Risk in Financial Markets},
year = {2001},
publisher = {Butterworth-Heinemann Finance},
address = {Oxford}
}
@Article{SortinoEtAl1999,
author = {Sortino, F.A and van\_der\_Meer, R and Plantinga, A},
title = {The Dutch Triangle: A Framework To Measure Upside Potential Relative to Downside risk},
year = {1999},
URL = {http://www.sortino.com/htm/The\%20Dutch\%20Triangle.htm},
journal = {The Journal of Portfolio Management},
volume = {25},
number = {Fall},
pages = {50{\textendash}58}
}
@Article{SortinovanderMeer1991,
author = {Sortino, F.A and van\_der\_Meer, R},
title = {Downside risk},
year = {1991},
URL = {http://www.iijournals.com/doi/abs/10.3905/jpm.1991.409343},
journal = {Journal of Portfolio Management},
volume = {17},
pages = {27{\textendash}31},
doi = {DOI: 10.3905/jpm.1991.409343}
}
@Article{RePEc-kap-atlecj-v-31-y-2003-i-4-p-387-387,
author = {Tibiletti, L and Farinelli, S},
title = {Upside and Downside Risk with a Benchmark},
year = {2003},
month = {December},
URL = {http://ideas.repec.org/a/kap/atlecj/v31y2003i4p387-387.html},
abstract = {No abstract is available for this item.},
journal = {Atlantic Economic Journal},
volume = {31},
number = {4},
pages = {387-387}
}
@Article{Treynor1965,
author = {Treynor, J.L},
title = {How to Rate Management of Investment Funds},
year = {1965},
journal = {Harvard Business Review},
volume = {43},
number = {1},
pages = {63-75}
}
@Article{1998,
author = {Young, M.R},
title = {A Minimax Portfolio Selection Rule with Linear Programming Solution},
year = {1998},
URL = {http://www.jstor.org/stable/2634472},
abstract = {A new principle for choosing portfolios based on historical returns data is introduced; the optimal portfolio based on this principle is the solution to a simple linear programming problem. This principle uses minimum return rather than variance as a measure of risk. In particular, the portfolio is chosen that minimizes the maximum loss over all past observation periods, for a given level of return. This objective function avoids the logical problems of a quadratic (nonmonotone) utility function implied by mean-variance portfolio selection rules. The resulting minimax portfolios are diversified; for normal returns data, the portfolios are nearly equivalent to those chosen by a mean-variance rule. Framing the portfolio selection process as a linear optimization problem also makes it feasible to constrain certain decision variables to be integer, or 0-1, valued; this feature facilitates the use of more complex decision-making models, including models with fixed transaction charges and models with Boolean-type constraints on allocations.},
journal = {Management Science},
volume = {44},
number = {5},
pages = {673-683}
}
@Article{Young1991,
author = {Young, T.W},
title = {Calmar Ratio: A Smoother Tool},
year = {1991},
URL = {http://www.allbusiness.com/business-finance/equity-funding-stock/261555-1.html},
journal = {Futures},
volume = {20},
number = {1},
pages = {40}
}
@Book{KnigthSatchell2002,
editor = {Knigth, J and Satchell, S},
title = {Performance Measurement in Finance: Firms, Funds and Managers},
year = {2002},
publisher = {Butterworth-Heinemann Finance}
}