Sebastiaan de Groot

EIM Management (USA) Inc. (Deceased)

660 Madison Avenue, 22nd Floor

New York, NY 10021

United States

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Risk-Adjusted Performance Measures and Implied Risk-Attitudes

Number of pages: 23 Posted: 05 Nov 2001
Sebastiaan de Groot and Auke Plantinga
EIM Management (USA) Inc. (Deceased) and University of Groningen
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Abstract:

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Performance measurement, risk aversion, preference functions, Sharpe ratio, Sortino ratio, upside potential ratio, mutual funds