Jump to ContentJump to Main Navigation

You are looking at 1-11 of 11 items

  • Keywords: Sharpe ratio x
Clear All Modify Search

View:

Risk-Adjusted Performance Measurement

Pilar Grau Carles

in Investment Risk Management

Published in print:
2015
Published Online:
January 2015
ISBN:
9780199331963
eISBN:
9780190214098
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199331963.003.0019
Subject:
Economics and Finance, Financial Economics

The financial crisis of 2007–2008 reopened the debate about the need for identifying a correct risk measurement in financial time series. Different risk measurements give rise to different ... More


Analyzing Mutual Funds

Bruce A. Costa and Keith Jakob

in Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth

Published in print:
2015
Published Online:
November 2015
ISBN:
9780190207434
eISBN:
9780190207465
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190207434.003.0018
Subject:
Economics and Finance, Financial Economics

This chapter reviews the most widely used metrics to analyze mutual fund performance. It covers tools, risk metrics, and rating criteria popular with both academics and practitioners. Measurement of ... More


REITs: Structure and Performance

Walter I. Boudry and Jarl G. Kallberg

in Public Real Estate Markets and Investments

Published in print:
2014
Published Online:
September 2014
ISBN:
9780199993277
eISBN:
9780199395767
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199993277.003.0011
Subject:
Economics and Finance, Financial Economics

This chapter evaluates the recent performance of REITs versus more traditional equity and debt investments. It shows that REIT returns are very closely linked to mid-cap equity returns but are only ... More


Evaluating Hedge Fund Performance

David M. Smith

in Hedge Funds: Structure, Strategies, and Performance

Published in print:
2017
Published Online:
August 2017
ISBN:
9780190607371
eISBN:
9780190607401
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190607371.003.0023
Subject:
Economics and Finance, Financial Economics

A diverse set of measures allow investors to evaluate hedge fund portfolio managers’ performance across different dimensions. The various measures quantify the effectiveness of security selection; ... More


Good Deal Bounds

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0034
Subject:
Economics and Finance, Econometrics

In this chapter we study an incomplete market, but we do not look for a unique martingale measure. Instead we try to find “reasonable” bounds on arbitrage free prices. The terms “reasonable” is ... More


Investment Policy: Understanding Asset Allocation Construction

Philippe-N. Marcaillou

in Defined Benefit Pension Schemes in the United Kingdom: Asset and Liability Management

Published in print:
2016
Published Online:
May 2016
ISBN:
9780198738794
eISBN:
9780191802003
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198738794.003.0005
Subject:
Economics and Finance, Financial Economics

On the asset side, trustees must build a robust return-seeking asset portfolio in accordance with the risk and performance strategy defined in the ALM framework and the LDI strategy. This chapter ... More


Risk Management in a Normal World

Gilles Bénéplanc and Jean-Charles Rochet

in Risk Management in Turbulent Times

Published in print:
2011
Published Online:
April 2015
ISBN:
9780199774081
eISBN:
9780190258474
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:osobl/9780199774081.003.0010
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter explores risk management in the Normal world. A Normal world where the mean-variance criterion can be used safely, portfolio choice is easy, the diversification principle works well, and ... More


Mean-Variance Analysis

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0005
Subject:
Economics and Finance, Financial Economics

The mean‐variance frontier is characterized with and without a risk‐free asset. The global minimum variance portfolio and tangency portfolio are defined, and two‐fund spanning is explained. The ... More


Stock Mutual Funds

Grady Perdue

in Mutual Funds and Exchange-Traded Funds: Building Blocks to Wealth

Published in print:
2015
Published Online:
November 2015
ISBN:
9780190207434
eISBN:
9780190207465
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190207434.003.0013
Subject:
Economics and Finance, Financial Economics

This chapter examines recent academic research concerning performance evaluation of equity mutual funds. Investors seeking to reach their financial goals should include investments that enhance the ... More


Multidimensional Models: Martingale Approach

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0014
Subject:
Economics and Finance, Econometrics

In this chapter we study a very general multidimensional Wiener-driven model using the martingale approach. Using the Girsanov Theorem we derive the martingale equation which is used to find an ... More


Return-Risk Evaluation of Investments

Paul Weirich

in Rational Responses to Risks

Published in print:
2020
Published Online:
August 2020
ISBN:
9780190089412
eISBN:
9780190089443
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190089412.003.0008
Subject:
Philosophy, Logic/Philosophy of Mathematics

In finance, a common way of evaluating an investment uses the investment’s expected return and the investment’s risk, in the sense of the investment’s volatility, or exposure to chance. A version of ... More


View: