The DOI matches its Crossref record; 41 of the 41 references it cites were found in a registry or an index.
Portfolio Performance Measurement: Theory and Applications
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 nontrivial. 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 no arbitrage. This article 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.
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Cites
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Sharpe, W. F. (1966) · The Journal of Business · doi:10.1086/294846 · Cited by 3,937
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
Campbell, J. Y., & Shiller, R. J. (1988) · Review of Financial Studies · doi:10.1093/rfs/1.3.195 · Cited by 3,774
Martingales and arbitrage in multiperiod securities markets
Harrison, J. M., & Kreps, D. M. (1979) · Journal of Economic Theory · doi:10.1016/0022-0531(79)90043-7 · Cited by 3,593
Dividend yields and expected stock returns
Fama, E. F., & French, K. R. (1988) · Journal of Financial Economics · doi:10.1016/0304-405x(88)90020-7 · Cited by 3,556
Fama, E. F., & Schwert, G. W. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90014-9 · Cited by 2,687
Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
Hansen, L. P., & Singleton, K. J. (1982) · Econometrica · doi:10.2307/1911873 · Cited by 1,831
Measuring Fund Strategy and Performance in Changing Economic Conditions
FERSON, W. E., & SCHADT, R. W. (1996) · The Journal of Finance · doi:10.1111/j.1540-6261.1996.tb02690.x · Cited by 1,759
The Variation of Economic Risk Premiums
Ferson, W. E., & Harvey, C. R. (1991) · Journal of Political Economy · doi:10.1086/261755 · Cited by 1,732
Cited by
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
European Mutual Fund Performance
Otten, R., & Bams, D. (2002) · European Financial Management · doi:10.1111/1468-036x.00177 · Cited by 445
De Roon, F. A., Nijman, T. E., & Werker, B. J. M. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00343 · Cited by 293
Metadata
- Authors
- Chen, Z., & Knez, P. J.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1996-04
- Volume
- 9
- Issue
- 2
- Pages
- 511-555
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W1490412332
- Cited by
- 290
- References
- 41
- FWCI
- 11.65
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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