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Portfolio Performance Measures: A Brief Survey and Hypothesis Testing

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Book cover Decision Making: Recent Developments and Worldwide Applications

Part of the book series: Applied Optimization ((APOP,volume 45))

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Abstract

In this paper, we explore the theoretical aspects of portfolio performance measures. First, we survey the available portfolio performance evaluation techniques, starting with the two-parameter mean-variance based measures. Then, we look at the multi-factor APT-based measures. This leads us into the higher-moments based measures, which incorporate asymmetrical returns and investors’ preference for skewness. We also include some nonparametric techniques, which are popular in the evaluation of mutual funds. Next, we define the reward-to-variability ratio. As others have reported, the reward-to-variability ratio computed on the basis of sample data is not an unbiased estimator. In addition, intervaling may bias the value of the estimator. So, we obtain an exact probability distribution for one of the performance measures. This exact probability distribution should help in obtaining a better estimator of the reward-to-variability statistic and in hypothesis testing pertaining to the portfolio performance measures.

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Authors and Affiliations

  1. College of Business Administartion Finance Department, Florida International University, Miami, FL, 33199, USA

    G. L. Ghai, T. E. Pactwa & A. J. Prakash

Authors
  1. G. L. Ghai
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  2. T. E. Pactwa
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  3. A. J. Prakash
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Editor information

Editors and Affiliations

  1. College of Business Administration, Decision Science & Information Systems Department, Florida International University, Miami, Florida, USA

    Stelios H. Zanakis

  2. Department of Management Science and Technology, Athens University of Economics & Business, Athens, Greece

    Georgios Doukidis

  3. Technical University of Crete, Department of Production Engineering and Management, Financial Engineering Laboratory, University Campus, Chania, Greece

    Constantin Zopounidis

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© 2000 Springer Science+Business Media Dordrecht

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Ghai, G.L., Pactwa, T.E., Prakash, A.J. (2000). Portfolio Performance Measures: A Brief Survey and Hypothesis Testing. In: Zanakis, S.H., Doukidis, G., Zopounidis, C. (eds) Decision Making: Recent Developments and Worldwide Applications. Applied Optimization, vol 45. Springer, Boston, MA. https://doi.org/10.1007/978-1-4757-4919-9_10

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  • DOI: https://doi.org/10.1007/978-1-4757-4919-9_10

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-1-4419-4839-7

  • Online ISBN: 978-1-4757-4919-9

  • eBook Packages: Springer Book Archive

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