Portfolio Performance Evaluation

Portfolio Performance Evaluation
Author :
Publisher : Now Publishers Inc
Total Pages : 123
Release :
ISBN-10 : 9781601980823
ISBN-13 : 1601980825
Rating : 4/5 (23 Downloads)

Book Synopsis Portfolio Performance Evaluation by : George O. Aragon

Download or read book Portfolio Performance Evaluation written by George O. Aragon and published by Now Publishers Inc. This book was released on 2008 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.


Portfolio Performance Evaluation Related Books

Portfolio Performance Evaluation
Language: en
Pages: 123
Authors: George O. Aragon
Categories: Financial risk management
Type: BOOK - Published: 2008 - Publisher: Now Publishers Inc

DOWNLOAD EBOOK

This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfol
Performance Evaluation and Attribution of Security Portfolios
Language: en
Pages: 725
Authors: Bernd R. Fischer
Categories: Business & Economics
Type: BOOK - Published: 2012-12-31 - Publisher: Academic Press

DOWNLOAD EBOOK

Just how successful is that investment? Measuring portfolio performance requires evaluation (measuring portfolio results against benchmarks) and attribution (de
Performance Appraisal
Language: en
Pages: 160
Authors:
Categories:
Type: BOOK - Published: 2001-02 - Publisher: Andrew E Schwartz

DOWNLOAD EBOOK

Portfolio Performance Measurement and Benchmarking, Chapter 12 - Conditional Performance Evaluation
Language: en
Pages: 14
Authors: Jon A. Christopherson
Categories: Business & Economics
Type: BOOK - Published: 2009-05-15 - Publisher: McGraw Hill Professional

DOWNLOAD EBOOK

Here is a chapter from Portfolio Performance Measurement and Benchmarking, which will help you create a system you can use to accurately measure your performanc
Quantitative Models for Performance Evaluation and Benchmarking
Language: en
Pages: 419
Authors: Joe Zhu
Categories: Business & Economics
Type: BOOK - Published: 2014-09-11 - Publisher: Springer

DOWNLOAD EBOOK

The author is one of the prominent researchers in the field of Data Envelopment Analysis (DEA), a powerful data analysis tool that can be used in performance ev