Abstract

http://ssrn.com/abstract=7543
 
 

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Portfolio Performance Measurement: Theory and Applications


Zhiwu Chen


Yale University - International Center for Finance; Zebra Capital Management, LLC

Peter J. Knez


affiliation not provided to SSRN


REVIEW OF FINANCIAL STUDIES Vol. 9 No. 2

Abstract:     
Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous and nontribial. Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive admissible measure exists if and only if there is not arbitrage. This paper characterizes the (infinite) set of admissible performance measures. It is shown that performance evaluation is generally quite arbitrary. A mutual fund data set is also used to demonstrate how the measurement method developed here can be applied.

JEL Classification: G11

Accepted Paper Series


Not Available For Download

Date posted: May 20, 1998  

Suggested Citation

Chen, Zhiwu and Knez, Peter J., Portfolio Performance Measurement: Theory and Applications. REVIEW OF FINANCIAL STUDIES Vol. 9 No. 2. Available at SSRN: http://ssrn.com/abstract=7543

Contact Information

Zhiwu Chen
Yale University - International Center for Finance ( email )
Box 208200
New Haven, CT 06520-8200
United States
203-432-5948 (Phone)
203-432-6970 (Fax)
Zebra Capital Management, LLC ( email )
612 Wheelers Farms Road
Milford, CT 06461
United States
Peter J. Knez (Contact Author)
affiliation not provided to SSRN
Feedback to SSRN


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