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A Portfolio Performance Index
16 references·16 citing·34 second hopsampled
A Portfolio Performance Index (2000)A Portfolio Performance IndexTheory of games and economic behavior (2019)Theory of games and economic …The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Econometrics of Financial Markets (1997)The Econometrics of Financial…The Equity Premium: It's Still a Puzzle (1996)The Equity Premium: It's Stil…Myopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …The Sharpe Ratio (1994)The Sharpe RatioImplied Binomial Trees (1994)Implied Binomial TreesMyopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the …Choice Under Uncertainty: Problems Solved and Unsolved (1992)Choice Under Uncertainty: Pro…The equity premium: A puzzle (1985)The equity premium: A puzzleSKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…Safety First and the Holding of Assets (1952)Safety First and the Holding …The Theory of Games and Economic Behavior (1945)The Theory of Games and Econo…A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure (2022)A novel approach to incorpora…A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES (2013)A SURVEY ON THE FOUR FAMILIES…Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence (2012)Manipulation in U.S. REIT Inv…Approximating the numéraire portfolio by naive diversification (2011)Approximating the numéraire p…Yes, the choice of performance measure does matter for ranking of us mutual funds (2010)Yes, the choice of performanc…Asymptotics of the probability minimizing a “down-side” risk (2010)Asymptotics of the probabilit…The 101 Ways to Measure Portfolio Performance (2009)The 101 Ways to Measure Portf…Conditionally fitted Sharpe performance with an application to hedge fund rating (2009)Conditionally fitted Sharpe p…Passive Options-Based Investment Strategies (2005)Passive Options-Based Investm…Multihorizon Sharpe Ratios (2005)Multihorizon Sharpe RatiosRisk-Adjusted Return When Returns Are Not Normally Distributed (2004)Risk-Adjusted Return When Ret…An analysis of Spanish investment fund performance: some considerations concerning Sharpe's ratio (2004)An analysis of Spanish invest…Portfolio Performance Evaluation Using Value at Risk (2003)Portfolio Performance Evaluat…Portfolio choice with endogenous utility: a large deviations approach (2003)Portfolio choice with endogen…Economic Properties of the Risk Sensitive Criterion for Portfolio Management (2003)Economic Properties of the Ri…Why Stocks May Disappoint (2000)Why Stocks May DisappointProspect theory: An analysis of decision under risk (1988)Status quo bias in decision making (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Do Investors Trade Too Much? (1999)Familiarity Breeds Investment (2001)Investor Psychology and Asset Pricing (2001)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)Frontiers in Group Dynamics (1947)A Method for Evaluating the Distribution of Power in a Committee System (1954)Measurement of health state utilities for economic appraisal (1986)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 2019Theory of games and economic behavior16,630 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1945The Theory of Games and Economic Behavior5,134 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1993Myopic Loss Aversion and the Equity Premium Puzzle1,799 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 1992Choice Under Uncertainty: Problems Solved and Unsolved948 cited
  • 1996The Equity Premium: It's Still a Puzzle944 cited

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  • 2003Portfolio choice with endogenous utility: a large deviations approach108 cited
  • 2013A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES78 cited
  • 2003Portfolio Performance Evaluation Using Value at Risk74 cited
  • 2010Yes, the choice of performance measure does matter for ranking of us mutual funds61 cited
  • 2005Passive Options-Based Investment Strategies56 cited
  • 2022A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure55 cited
  • 2004An analysis of Spanish investment fund performance: some considerations concerning Sharpe's ratio54 cited
  • 2003Economic Properties of the Risk Sensitive Criterion for Portfolio Management53 cited
  • 2009The 101 Ways to Measure Portfolio Performance51 cited
  • 2010Asymptotics of the probability minimizing a “down-side” risk42 cited
  • 2011Approximating the numéraire portfolio by naive diversification42 cited
  • 2000Why Stocks May Disappoint41 cited
  • 2004Risk-Adjusted Return When Returns Are Not Normally Distributed37 cited
  • 2012Manipulation in U.S. REIT Investment Performance Evaluation: Empirical Evidence32 cited
  • 2009Conditionally fitted Sharpe performance with an application to hedge fund rating27 cited
  • 2005Multihorizon Sharpe Ratios25 cited