Work

Investor-specific Performance Measurement - a Justification of Sharpe Ratio and Treynor Ratio

Year: 2005

Type: preprint

Abstract: This article defines the investor-specific performance measure ISM necessary for investors in practically relevant decision situations. In such situations a typical investor creates an overall portfolio consisting of three parts: an arbitrary fund, a risk-free asset and an existing, fixed portfolio. Since the ISM is considerably defined by the Sharpe ratio and the Treynor ratio, an economic justification of these traditional performance measures is also presented here.

Source: SSRN Electronic Journal

Authors: Hendrik Scholz, Marco Wilkens

Institutions: Friedrich-Alexander-Universität Erlangen-Nürnberg, University of Augsburg

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W205756964

Cites: 5

Cited by: 24

Related to: 10