Performance measures: advantages of linear risk penalization

This work corrects the risk quotient penalization carried out by the Sharpe and Treynor ratios, which, assuming normality in returns distribution, are equivalent to classifying the funds according to the probability of their returns being below that of the risk-free asset, without considering the en...

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Bibliographic Details
Published in:Applied financial economics, 19(2009), 1/3 Jan./Feb., Seite 73-85
Main Author: Ferruz Agudo, Luis (Author)
Other Involved Persons: Gómez-Bezares, Fernando ; Vargas, María
Format: Article
Published: 2009
Physical Description:graph. Darst.
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